GAMCO Natural Resources, Gold & Income

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number            811-22216                

GAMCO Natural Resources, Gold & Income Trust

(Exact name of registrant as specified in charter)

One Corporate Center

                         Rye, New York 10580-1422                        

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

                         Rye, New York 10580-1422                        

(Name and address of agent for service)

Registrant’s telephone number, including area code:  1-800-422-3554

Date of fiscal year end:  December 31

Date of reporting period:  December 31, 2014

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.


GAMCO Natural Resources, Gold & Income Trust

Annual Report — December 31, 2014

(Y)our Portfolio Management Team

 

LOGO

Caesar M. P. Bryan     Vincent Hugonnard-Roche

To Our Shareholders,

For the year ended December 31, 2014, the net asset value (“NAV”) total return of the GAMCO Natural Resources, Gold & Income Trust (the “Fund”) was (11.3)%, compared with total returns of 5.6% and (18.3)% for the Chicago Board Options Exchange (“CBOE”) Standard & Poor’s (“S&P”) 500 Buy/Write Index and the Philadelphia Gold & Silver Index (“XAU”), respectively. The total return for the Fund’s publicly traded shares was (10.5)%. The Fund’s NAV per share was $8.75, while the price of the publicly traded shares closed at $8.07 on the New York Stock Exchange (“NYSE”). See below for additional performance information.

Enclosed are the financial statements, including the schedule of investments, as of December 31, 2014.

Sincerely yours,

 

 

LOGO

Bruce N. Alpert

President

Comparative Results

Average Annual Returns through December 31, 2014 (a) (Unaudited)

     1 Year   3 Year   Since
Inception
(01/27/11)
   

  GAMCO Natural Resources, Gold & Income Trust

              

NAV Total Return (b)

       (11.25 )%       (6.45 )%       (8.81 )%  

Investment Total Return (c)

       (10.48 )       (5.23 )       (11.56 )  

  CBOE S&P 500 Buy/Write Index

       5.64         7.97         7.28 (d)  

  XAU

       (18.27 )       (27.52 )       (23.85 )(d)  

  Dow Jones U.S. Basic Materials Index

       3.39         11.20         4.21 (d)  

  S&P Global Agribusiness Equity Index

       6.85         11.93         4.97    

  (a) Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The CBOE S&P 500 Buy/Write Index is an unmanaged benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in a S&P 500 (SPX) call option. The XAU is an unmanaged indicator of stock market performance of large North American gold and silver companies. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials sector of the U.S. equity market. The S&P Global Agribusiness Equity Index is designed to provide exposure to twenty-four of the largest publicly traded agribusiness companies, comprised of a mix of Producers, Distributors & Processors, and Equipment & Materials Suppliers companies. Dividends are considered reinvested. You cannot invest directly in an index.

  (b)

Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.

 
  (c)

Total returns and average returns reflect changes in closing market values on the NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

 
  (d)

From January 31, 2011, the date closest to the Fund’s inception for which data is available.

 

 


Summary of Portfolio Holdings

The following table presents portfolio holdings as a percent of total investments as of December 31, 2014:

GAMCO Natural Resources, Gold & Income Trust

 

Long Positions

Metals and Mining

  51.0

Energy and Energy Services

  26.7

Specialty Chemicals

  10.3

U.S. Government Obligations

  6.5

Agriculture

  3.9

Machinery

  1.4

Services

  0.2
  

 

 

 
      100.0
  

 

 

 
Short Positions

Call Options Written

  (3.4 )% 

Put Options Written

  (0.2 )% 
  

 

 

 
        (3.6 )% 
  

 

 

 
 

 

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. A description of the Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

 

2


GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments — December 31, 2014

 

 

 

                Market  

Shares

       

Cost

   

Value

 
  COMMON STOCKS — 93.5%   
  Agriculture — 3.9%   
  10,000      Bunge Ltd.(a)   $ 818,650      $ 909,100   
  16,000      Monsanto Co.(a)     1,953,203        1,911,520   
  70,000      Syngenta AG, ADR     5,546,800        4,496,800   
   

 

 

   

 

 

 
          8,318,653            7,317,420   
   

 

 

   

 

 

 
  Energy and Energy Services — 26.7%   
  64,700     

Anadarko Petroleum Corp.(a)

    6,965,401        5,337,750   
  26,000     

Apache Corp.(a)

    2,666,789        1,629,420   
  53,000     

Baker Hughes Inc.(a)

    3,731,132        2,971,710   
  126,000     

Cabot Oil & Gas Corp.(a)

    4,813,970        3,730,860   
  32,500     

Cameron International Corp.†(a)

    2,252,783        1,623,375   
  57,500     

Carrizo Oil & Gas Inc.†

    3,480,148        2,392,000   
  2,458     

Centrus Energy Corp.†

    3,006,558        10,569   
  17,000     

Cheniere Energy Inc.†

    1,227,740        1,196,800   
  135,000     

Cobalt International Energy Inc.†(a)

    3,315,057        1,200,150   
  34,000     

CVR Refining, LP

    908,425        571,200   
  40,000     

Denbury Resources Inc.

    680,400        325,200   
  58,000     

Devon Energy Corp.(a)

    4,109,155        3,550,180   
  30,800     

Diamondback Energy Inc.†

    2,134,174        1,841,224   
  115,000     

Encana Corp.

    2,471,150        1,595,050   
  10,500     

FMC Technologies Inc.†

    622,020        491,820   
  117,900     

Glencore plc

    887,113        549,073   
  11,500     

Halliburton Co.

    623,246        452,295   
  10,000     

Hess Corp.

    960,600        738,200   
  40,000     

Laredo Petroleum Inc.†

    1,088,468        414,000   
  65,500     

Marathon Oil Corp.(a)

    2,360,597        1,852,995   
  32,500     

Marathon Petroleum Corp.(a)

    2,529,606        2,933,450   
  110,000     

Nabors Industries Ltd.

    2,821,952        1,427,800   
  15,000     

Newfield Exploration Co.†

    574,050        406,800   
  65,000     

Patterson-UTI Energy Inc.

    2,218,750        1,078,350   
  85,000     

Penn Virginia Corp.†

    1,255,025        567,800   
  20,000     

Petroleo Brasileiro SA, ADR

    434,606        146,000   
  1,800     

Pioneer Natural Resources Co.

    313,837        267,930   
  32,000     

SM Energy Co.(a)

    2,417,184        1,234,560   
  14,000     

Southwestern Energy Co.†

    471,240        382,060   
  14,000     

SPDR S&P Oil & Gas Exploration & Production ETF

    809,052        670,040   
  70,000     

Suncor Energy Inc.(a)

    2,490,172        2,224,600   
  34,000     

Superior Energy Services Inc.

    1,126,236        685,100   
  17,500     

Total SA, ADR

    1,140,475        896,000   
  65,000     

Tullow Oil plc

    1,454,029        419,319   
  22,500     

Valero Energy Corp.

    1,190,700        1,113,750   
  160,000     

Weatherford International plc†(a)

    3,201,352        1,832,000   
  20,000     

Western Refining Inc.

    806,052        755,600   
  19,300     

Whiting Petroleum Corp.†

    1,623,304        636,900   
   

 

 

   

 

 

 
      75,182,548        50,151,930   
   

 

 

   

 

 

 
                Market  

Shares

       

Cost

   

Value

 
  Machinery — 1.4%     
  43,000      AGCO Corp   $ 2,363,210      $ 1,943,600   
  100,000      CNH Industrial NV(a)     1,253,135        806,000   
   

 

 

   

 

 

 
          3,616,345            2,749,600   
   

 

 

   

 

 

 
  Metals and Mining — 51.0%   
  173,500     

Agnico Eagle Mines Ltd.(a)

    7,159,296        4,318,415   
  62,000     

Alamos Gold Inc

    617,305        442,060   
  300,000     

Alderon Iron Ore Corp.†

    1,222,321        100,706   
  80,000     

Anglo American plc

    2,055,476        1,496,882   
  293,000     

AngloGold Ashanti Ltd., ADR†(a)

    7,981,188        2,549,100   
  135,000     

Antofagasta plc

    2,965,230        1,583,346   
  130,000     

ArcelorMittal(a)

    3,477,057        1,433,900   
  860,000     

AuRico Gold Inc.

    4,107,484        2,820,800   
  862,500     

B2Gold Corp.†

    2,496,907        1,397,250   
  393,700     

Barrick Gold Corp.(a)

    12,288,463        4,232,275   
  35,000     

BHP Billiton Ltd., ADR

    2,729,461        1,656,200   
  370,000     

Centerra Gold Inc.

    1,824,107        1,923,567   
  179,000     

Detour Gold Corp.†

    1,563,060        1,462,136   
  300,000     

Duluth Metals Ltd.†

    879,876        114,908   
  1,035,000     

Eldorado Gold Corp.

    10,023,709        6,307,282   
  40,000     

Franco-Nevada Corp.

    1,964,400        1,967,600   
  130,000     

Freeport-McMoRan Inc.(a)

    6,588,379        3,036,800   
  307,500     

Fresnillo plc

    4,653,432        3,671,211   
  440,000     

Goldcorp Inc.(a)

    15,714,547        8,148,800   
  1,000,000     

G-Resources Group Ltd.†

    28,104        23,728   
  456,456     

Hochschild Mining plc†

    2,176,108        626,062   
  10,000 (b)   

Labrador Iron Ore Royalty Corp.

    182,294        160,096   
  51,400     

Lundin Mining Corp.†

    386,032        253,062   
  140,000     

MAG Silver Corp.†

    1,366,885        1,147,186   
  52,500     

Newcrest Mining Ltd.†

    2,063,778        468,090   
  322,500     

Newmont Mining Corp.(a)

    12,202,418        6,095,250   
  29,000     

Peabody Energy Corp.(a)

    1,787,325        224,460   
  600,000     

Perseus Mining Ltd.†

    1,878,229        127,358   
  217,000     

Primero Mining Corp.†

    1,418,776        834,903   
  161,000     

Randgold Resources Ltd., ADR(a)

    16,216,673        10,853,010   
  62,500     

Rio Tinto plc, ADR(a)

    3,760,671        2,878,750   
  750,000     

Romarco Minerals Inc.†

    846,418        316,320   
  129,000     

Royal Gold Inc.(a)

    9,925,540        8,088,300   
  1,772,727     

Saracen Mineral Holdings Ltd.†

    842,258        369,049   
  245,000     

Sibanye Gold Ltd., ADR

    2,388,950        1,854,650   
  200,000     

Silver Wheaton Corp.

    4,413,885        4,066,000   
  170,000     

Tahoe Resources Inc.(a)

    3,856,640        2,363,143   
  20,000     

Teck Resources Ltd., Cl. B

    1,099,888        272,800   
  547,000     

Torex Gold Resources Inc.†

    616,382        579,110   
  179,900     

Vale SA, ADR(a)

    5,130,125        1,471,582   
  50,000     

Vedanta Resources plc

    1,901,612        447,709   
  940,000     

Yamana Gold Inc.(a)

    12,677,236        3,778,800   
   

 

 

   

 

 

 
      177,477,925        95,962,656   
   

 

 

   

 

 

 
 

 

See accompanying notes to financial statements.

 

3


GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — December 31, 2014

 

 

 

                Market  

Shares

       

Cost

   

Value

 
  COMMON STOCKS (Continued)   
  Services — 0.2%   
  20,000      Noble Corp. plc(a)   $ 656,677      $ 331,400   
   

 

 

   

 

 

 
  Specialty Chemicals — 10.3%   
  40,000     

Agrium Inc.(a)

        3,869,209            3,788,800   
  17,000     

E. I. du Pont de Nemours and Co.

    1,141,210        1,256,980   
  45,000     

FMC Corp.(a)

    3,509,400        2,566,350   
  30,000     

Intrepid Potash Inc.†(a)

    1,114,704        416,400   
  51,200     

Potash Corp. of Saskatchewan Inc.(a)

    1,811,511        1,808,384   
  37,000     

Rockwood Holdings
Inc.(a)

    2,994,940        2,915,600   
  45,000     

The Dow Chemical
Co.(a)

    2,201,245        2,052,450   
  98,500     

The Mosaic Co.(a)

    5,197,773        4,496,525   
   

 

 

   

 

 

 
      21,839,992        19,301,489   
   

 

 

   

 

 

 
  TOTAL COMMON STOCKS     287,092,140        175,814,495   
   

 

 

   

 

 

 

Principal
Amount

                 
  U.S. GOVERNMENT OBLIGATIONS — 6.5%   
  $12,250,000      U.S. Treasury Bills,     
    0.000% to 0.105%††,     
    01/22/15 to 06/18/15     12,248,436        12,248,607   
   

 

 

   

 

 

 

 

TOTAL INVESTMENTS — 100.0%

  $ 299,340,576        188,063,102   
   

 

 

   

 

CALL OPTIONS WRITTEN

  

 

 

    (Premiums received $9,954,894)

  

    (6,380,632

 

PUT OPTIONS WRITTEN

  

 

 

    (Premiums received $212,612)

  

    (419,300

 

Other Assets and Liabilities (Net)

  

    2,854,471   
     

 

 

 

 

NET ASSETS — COMMON STOCK

  

 

 

    (21,050,861 common shares outstanding)

  

    $ 184,117,641   
     

 

 

 

 

NET ASSET VALUE PER COMMON SHARE

  

 

 

    ($184,117,641 ÷ 21,050,861 shares outstanding)

  

    $ 8.75   
     

 

 

 

Number of
Contracts

        Expiration
Date/
Exercise

Price
    Market
Value
 
  OPTIONS CONTRACTS
    WRITTEN (c) — (3.6)%
   
  Call Options Written — (3.4)%     
  215      AGCO Corp.     Feb. 15/50      $ 11,287   
  215      AGCO Corp.     May 15/50        29,562   
  600      Agnico Eagle Mines Ltd.     Feb. 15/32.50        18,000   
  350      Agnico Eagle Mines Ltd.     Mar. 15/27.50        51,467   

Number of
Contracts

        Expiration
Date/
Exercise
Price
    Market
Value
 
  635     

Agnico Eagle Mines Ltd.

    May 15/35      $ 37,783   
  100     

Agrium Inc.

    Jan. 15/95        18,200   
  100     

Agrium Inc.

    Jan. 15/97.50        9,000   
  200     

Agrium Inc.

    Feb. 15/87.50        174,000   
  620     

Alamos Gold Inc.

    Jun. 15/9        7,167   
  100     

Anadarko Petroleum Corp.

    Feb. 15/90        22,500   
  163     

Anadarko Petroleum Corp.

    Feb. 15/95        16,463   
  222     

Anadarko Petroleum Corp.

    Feb. 15/105        8,880   
  162     

Anadarko Petroleum Corp.

    May 15/95        48,600   
  12     

Anglo American plc(d)

    Mar. 15/1500        1,496   
  13     

Anglo American plc(d)

    Mar. 15/1600        709   
  55     

Anglo American plc(d)

    Jun. 15/1350        45,005   
  500     

AngloGold Ashanti Ltd., ADR

    Jan. 15/11.50        780   
  1,000     

AngloGold Ashanti Ltd., ADR

    Jan. 15/18        12,500   
  1,930     

AngloGold Ashanti Ltd., ADR

    Apr. 15/12        62,725   
  135     

Antofagasta plc(d)

    Jun. 15/840        63,292   
  130     

Apache Corp.

    Jan. 15/80        130   
  130     

Apache Corp.

    Apr. 15/77.50        10,920   
  130     

Apache Corp.

    Apr. 15/72.50        21,450   
  430     

ArcelorMittal

    Jan. 15/16        860   
  215     

ArcelorMittal

    Mar. 15/13        3,010   
  215     

ArcelorMittal

    Mar. 15/14        1,613   
  440     

ArcelorMittal

    Jun. 15/12        28,160   
  4,450     

AuRico Gold Inc.

    Jan. 15/4.40        63,724   
  1,000     

AuRico Gold Inc.

    Mar. 15/4        15,000   
  1,650     

AuRico Gold Inc.

    Mar. 15/5        8,250   
  1,500     

AuRico Gold Inc.

    Jul. 15/4.50        45,000   
  175     

Baker Hughes Inc.

    Jan. 15/55        41,737   
  175     

Baker Hughes Inc.

    Feb. 15/60        25,287   
  662     

Barrick Gold Corp

    Jan. 15/20        662   
  900     

Barrick Gold Corp.

    Jan. 15/21        2,700   
  600     

Barrick Gold Corp.

    Feb. 15/18        1,500   
  600     

Barrick Gold Corp.

    Apr. 15/14        13,200   
  1,025     

Barrick Gold Corp.

    Apr. 15/15        14,350   
  150     

Barrick Gold Corp.

    Jul. 15/14        7,200   
  75     

BHP Billiton Ltd., ADR

    Jan. 15/57.50        300   
  100     

BHP Billiton Ltd., ADR

    Mar. 15/61        1,084   
  175     

BHP Billiton Ltd., ADR

    May 15/52.50        21,700   
  100     

Bunge Ltd.

    Apr. 15/92.50        31,500   
  395     

Cabot Oil & Gas Corp.

    Jan. 15/33.75        3,950   
  345     

Cabot Oil & Gas Corp.

    Mar. 15/36        11,727   
  145     

Cabot Oil & Gas Corp.

    Apr. 15/32.50        17,762   
  185     

Cabot Oil & Gas Corp.

    Apr. 15/35        11,100   
  190     

Cabot Oil & Gas Corp.

    Apr. 15/37.50        5,700   
  150     

Cameron International Corp.

    Feb. 15/62.50        2,250   
  175     

Cameron International Corp.

    May 15/55        42,437   
  75     

Carrizo Oil & Gas Inc.

    Mar. 15/52.50        8,809   
  50     

Carrizo Oil & Gas Inc.

    Apr. 15/42.50        24,750   
  150     

Carrizo Oil & Gas Inc.

    Apr. 15/45        58,500   
  200     

Carrizo Oil & Gas Inc.

    Apr. 15/55        25,500   
 

 

See accompanying notes to financial statements.

 

4


GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — December 31, 2014

 

 

 

Number of
Contracts

        Expiration
Date/
Exercise
Price
    Market
Value
 
  OPTIONS CONTRACTS
    WRITTEN (c) (Continued)
   
  Call Options Written (Continued)   
  100     

Carrizo Oil & Gas Inc.

    Jul. 15/45      $ 50,500   
  1,000     

Centerra Gold Inc.(e)

    Jan. 15/6        27,974   
  1,125     

Centerra Gold Inc.(e)

    Jan. 15/7        8,231   
  3,375     

Centerra Gold Inc.(e)

    Apr. 15/7        130,724   
  85     

Cheniere Energy Inc.

    Jan. 15/70        31,875   
  85     

Cheniere Energy Inc.

    Mar. 15/70        62,305   
  1,000     

CNH Industrial NV

    Mar. 15/9        12,730   
  500     

Cobalt International Energy Inc.

    Jan. 15/12.50        2,500   
  500     

Cobalt International Energy Inc.

    Apr. 15/14        10,000   
  350     

Cobalt International Energy Inc.

    Jul. 15/10        54,250   
  200     

Denbury Resources Inc.

    Jan. 15/10        2,500   
  200     

Denbury Resources Inc.

    Mar. 15/12        2,000   
  650     

Detour Gold Corp.(e)

    Jan. 15/11        6,993   
  595     

Detour Gold Corp.(e)

    Apr. 15/11        52,494   
  600     

Detour Gold Corp.(e)

    Jul. 15/11        76,175   
  150     

Devon Energy Corp.

    Jan. 15/65        7,950   
  80     

Devon Energy Corp.

    Jan. 15/72.50        160   
  80     

Devon Energy Corp.

    Jan. 15/75        240   
  185     

Devon Energy Corp.

    Mar. 15/64        51,807   
  85     

Devon Energy Corp.

    Apr. 15/67.50        19,507   
  63     

Diamondback Energy Inc.

    Mar. 15/60        40,320   
  75     

Diamondback Energy Inc.

    Mar. 15/77.50        9,937   
  100     

Diamondback Energy Inc.

    Jun. 15/72.50        46,500   
  70     

Diamondback Energy Inc.

    Jun. 15/75        27,650   
  170     

E.I. du Pont De Nemours and Co.

    Jan. 15/67.50        124,950   
  4,000     

Eldorado Gold Corp.(e)

    Jan. 15/8        29,265   
  4,125     

Eldorado Gold Corp.

    Apr. 15/7        165,000   
  2,225     

Eldorado Gold Corp.

    Apr. 15/8        44,500   
  550     

Encana Corp.

    Jan. 15/22        2,750   
  600     

Encana Corp.

    Apr. 15/20        9,000   
  250     

FMC Corp.

    Jan. 15/60        5,625   
  200     

FMC Corp.

    Apr. 15/60        34,000   
  105     

FMC Technologies Inc.

    Jan. 15/55        1,575   
  400     

Franco-Nevada Corp.

    Jan. 15/50        58,000   
  500     

Freeport-McMoRan Inc.

    Jan. 15/35        500   
  150     

Freeport-McMoRan Inc.

    Jan. 15/41        150   
  500     

Freeport-McMoRan Inc.

    Feb. 15/32        1,750   
  150     

Freeport-McMoRan Inc.

    May 15/32        2,550   
  78     

Fresnillo plc(d)

    Mar. 15/838        20,729   
  125     

Fresnillo plc(d)

    Mar. 15/877        32,770   
  60     

Fresnillo plc(d)

    Apr. 15/800        47,628   
  44     

Fresnillo plc(d)

    Jun. 15/800        46,956   
  59     

Glencore plc(d)

    Mar. 15/310        9,656   
  350     

Goldcorp Inc.

    Jan. 15/26        1,050   

Number of
Contracts

        Expiration
Date/
Exercise
Price
    Market
Value
 
  500     

Goldcorp Inc.

    Jan. 15/29      $ 500   
  600     

Goldcorp Inc.

    Apr. 15/22        41,700   
  1,000     

Goldcorp Inc.

    Apr. 15/23        52,500   
  400     

Goldcorp Inc.

    Apr. 15/24        15,800   
  500     

Goldcorp Inc.

    Apr. 15/25        15,500   
  25     

Goldcorp Inc.

    Apr. 15/26        613   
  525     

Goldcorp Inc.

    Jul. 15/22        59,588   
  500     

Goldcorp Inc.

    Jul. 15/23        46,000   
  115     

Halliburton Co.

    Apr. 15/42.50        22,482   
  100     

Hertz Corp.

    May 15/75        53,250   
  400     

Laredo Petroleum Inc.

    Jul. 15/10        106,000   
  110     

Marathon Oil Corp.

    Jan. 15/31        2,090   
  110     

Marathon Oil Corp.

    Jan. 15/32        770   
  215     

Marathon Oil Corp.

    Mar. 15/35        5,016   
  220     

Marathon Oil Corp.

    Apr. 15/36        5,940   
  150     

Marathon Petroleum Corp.

    Jan. 15/80        162,000   
  175     

Marathon Petroleum Corp.

    Apr. 15/85        162,750   
  60     

Monsanto Co.

    Jan. 15/110        55,800   
  100     

Monsanto Co.

    Feb. 15/112.50        92,325   
  600     

Nabors Industries Ltd.

    Jan. 15/28        600   
  500     

Nabors Industries Ltd.

    Apr. 15/16        44,785   
  200     

Nabors Industries Ltd.

    Jun. 15/17        20,000   
  75     

New Field Exploration Co.

    Mar. 15/34        3,937   
  75     

New Field Exploration Co.

    Jun. 15/32        12,375   
  525     

Newcrest Mining Ltd.(f)

    Feb. 15/10.50        29,853   
  400     

Newmont Mining Corp.

    Jan. 15/21        3,200   
  650     

Newmont Mining Corp.

    Jan. 15/26        650   
  213     

Newmont Mining Corp.

    Jan. 15/27        426   
  1,000     

Newmont Mining Corp.

    Mar. 15/24        19,000   
  962     

Newmont Mining Corp.

    Jun. 15/22        90,909   
  200     

Noble Corp. plc

    Jun. 15/21        14,400   
  250     

Patterson-UTI Energy Inc.

    May 15/24        10,625   
  150     

Patterson-UTI Energy Inc.

    May 15/26        4,125   
  250     

Patterson-UTI Energy Inc.

    Sep. 15/15        103,978   
  290     

Peabody Energy Corp.

    Jun. 15/10        17,400   
  576     

Penn Virginia Corp.

    Jun. 15/2        273,600   
  18     

Pioneer Natural Resources Co.

    Mar. 15/180        6,030   
  250     

Potash Corp. of Saskatchewan Inc.

    Mar. 15/36        27,000   
  250     

Potash Corp. of Saskatchewan Inc.

    Jun. 15/35        60,000   
  1,085     

Primero Mining Corp.

    Jan. 15/7.50        10,850   
  1,085     

Primero Mining Corp.

    Apr. 15/5.75        4,492   
  450     

Randgold Resources Ltd., ADR

    Mar. 15/77.50        72,000   
  300     

Randgold Resources Ltd., ADR

    Apr. 15/77.50        72,081   
  310     

Randgold Resources Ltd., ADR

    May 15/77.50        92,182   
 

 

See accompanying notes to financial statements.

 

5


GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — December 31, 2014

 

 

 

Number of
Contracts

        Expiration
Date/
Exercise
Price
    Market
Value
 
  OPTIONS CONTRACTS
    WRITTEN (c) (Continued)
   
  Call Options Written (Continued)   
  150     

Randgold Resources Ltd., ADR

    Jun. 15/72.50      $ 74,250   
  400     

Randgold Resources Ltd., ADR

    Jun. 15/77.50        140,000   
  100     

Rio Tinto plc, ADR

    Jan. 15/45        19,250   
  208     

Rio Tinto plc, ADR

    Jan. 15/50        2,912   
  150     

Rio Tinto plc, ADR

    Apr. 15/47.50        34,125   
  109     

Rio Tinto plc, ADR

    Apr. 15/52.50        8,720   
  58     

Rio Tinto plc, ADR

    Apr. 15/55        2,900   
  250     

Rockwood Holdings Inc.

    Jan. 15/85        25,000   
  120     

Rockwood Holdings Inc.

    Feb. 15/72.50        78,600   
  350     

Royal Gold Inc.

    Jan. 15/65        47,250   
  150     

Royal Gold Inc.

    Jan. 15/80        2,550   
  300     

Royal Gold Inc.

    Jan. 15/85        1,500   
  90     

Royal Gold Inc.

    Apr. 15/72.50        22,725   
  200     

Royal Gold Inc.

    Apr. 15/75        39,000   
  200     

Royal Gold Inc.

    Jul. 15/75        67,000   
  1,200     

Sibanye Gold Ltd., ADR

    Apr. 15/8.25        67,884   
  1,250     

Sibanye Gold Ltd., ADR

    Jun. 15/8.50        85,613   
  500     

Silver Wheaton Corp.

    Jan. 15/24        2,000   
  500     

Silver Wheaton Corp.

    Mar. 15/21        71,750   
  500     

Silver Wheaton Corp.

    Jun. 15/23        70,500   
  500     

Silver Wheaton Corp.

    Jan. 16/22        150,500   
  160     

SM Energy Co.

    Feb. 15/55        4,400   
  160     

SM Energy Co.

    May 15/55        23,200   
  140     

Southwestern Energy Co.

    Mar. 15/33        7,490   
  140     

SPDR Lehman High Yield Bond ETF

    Mar. 15/57        14,350   
  109     

Suncor Energy Inc.

    Mar. 15/34        12,263   
  200     

Suncor Energy Inc.

    Mar. 15/35        16,600   
  409     

Suncor Energy Inc.

    Jun. 15/35        57,056   
  170     

Superior Energy Services Inc.

    Mar. 15/22.50        17,000   
  100     

Superior Energy Services Inc.

    Jun. 15/25        9,500   
  200     

Syngenta AG, ADR

    Jan. 15/70        6,000   
  300     

Syngenta AG, ADR

    Feb. 15/62.50        103,923   
  850     

Tahoe Resources Inc.

    Feb. 15/22.50        136   
  850     

Tahoe Resources Inc.

    Mar. 15/22.50        12,750   
  100     

Teck Resources Ltd.,
Cl. B

    Feb. 15/19        700   
  100     

Teck Resources Ltd.,
Cl. B

    May 15/19        3,250   
  125     

The Dow Chemical Co.

    Jan. 15/52.50        250   
  100     

The Dow Chemical Co.

    Mar. 15/49        10,500   
  125     

The Dow Chemical Co.

    Mar. 15/52.50        4,750   
  100     

The Dow Chemical Co.

    Jun. 15/49        18,450   
  200     

The Mosaic Co.

    Jan. 15/47.50        4,800   
  200     

The Mosaic Co.

    Jan. 15/50        1,000   
  385     

The Mosaic Co.

    Mar. 15/47.50        44,660   
  200     

The Mosaic Co.

    Jun. 15/47.50        41,500   
  2,700     

Torex Gold Resources Inc.(e)

    Jun. 15/1.60        24,100   

 

Number of
Contracts

        Expiration
Date/
Exercise
Price
    Market
Value
 
  100     

Total SA, ADR

    May 15/62.50      $ 3,500   
  75     

Total SA, ADR

    May 15/57.50        7,688   
  65     

Tullow Oil plc(d)

    Jun. 15/520        32,925   
  500     

Vale SA, ADR

    Jan. 15/14        500   
  400     

Vale SA, ADR

    Mar. 15/11        2,400   
  899     

Vale SA, ADR

    Jun. 15/10        28,768   
  225     

Valero Energy Corp.

    Jun. 15/52.50        63,450   
  400     

Weatherford International plc

    Jan. 15/19        1,400   
  600     

Weatherford International plc

    Feb. 15/20        600   
  200     

Weatherford International plc

    May 15/12        24,700   
  200     

Weatherford International plc

    May 15/13        18,000   
  200     

Weatherford International plc

    May 15/14        12,200   
  200     

Western Refining Inc.

    Jun. 15/40        57,000   
  75     

Whiting Petroleum Corp.

    Mar. 15/65        1,800   
  51     

Whiting Petroleum Corp.

    Jun. 15/40        17,748   
  52     

Whiting Petroleum Corp.

    Jun. 15/45        11,960   
  90     

Whiting Petroleum Corp.

    Jan. 16/37.50        57,600   
  3,700     

Yamana Gold Inc.

    Jan. 15/9        3,700   
  2,050     

Yamana Gold Inc.

    Apr. 15/5        47,150   
  1,500     

Yamana Gold Inc.

    Apr. 15/7        7,500   
  2,150     

Yamana Gold Inc.

    Jul. 15/6        47,300   
     

 

 

 
 

TOTAL CALL OPTIONS WRITTEN
(Premiums received $9,954,894)

   

    6,380,632   
     

 

 

 
Put Options Written — (0.2)%   
  150     

Agnico Eagle Mines Ltd.

    Jan. 15/37.50        178,500   
  430     

Franco-Nevada Corp.

    Jan. 15/55        240,800   
     

 

 

 
 

TOTAL PUT OPTIONS WRITTEN
(Premiums received $212,612)

   

    419,300   
     

 

 

 
 

TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received $10,167,506)

   

  $ 6,799,932   
     

 

 

 

 

(a) Securities, or a portion thereof, with a value of $95,870,640 were deposited with the broker as collateral for options written.
(b) Denoted in units.
(c) At December 31, 2014, the Fund had written Option Contracts with Pershing LLC and Morgan Stanley.
(d) Exercise price denoted in British pence.
(e) Exercise price denoted in Canadian dollars.
(f) Exercise price denoted in Australian dollars.
Non-income producing security.
†† Represents annualized yield at date of purchase.
ADR American Depositary Receipt
 

 

See accompanying notes to financial statements.

 

6


GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — December 31, 2014

 

 

 

Geographic Diversification

   %of
Total
Investments
 

Market

Value

Long Positions

        

North America

       77.5 %     $ 145,648,083  

Europe

       14.7         27,576,479  

Latin America

       3.9         7,342,655  

South Africa

       2.3         4,403,750  

Asia/Pacific

       1.6         3,092,135  
    

 

 

     

 

 

 

Total Investments

       100.0 %     $ 188,063,102  
    

 

 

     

 

 

 

Short Positions

        

North America

       (3.5 )%     $ (6,468,914 )

Europe

       (0.1 )       (301,165 )

Asia/Pacific

       (0.0 )       (29,853 )
    

 

 

     

 

 

 

Total Investments

       (3.6 )%     $ (6,799,932 )
    

 

 

     

 

 

 

See accompanying notes to financial statements.

 

7


GAMCO Natural Resources, Gold & Income Trust

 

Statement of Assets and Liabilities
December 31, 2014
     

 

Assets:

 

Investments, at value (cost $299,340,576)

  $ 188,063,102   

Foreign currency, at value (cost $16)

    16   

Cash

    32,087   

Deposit at brokers

    2,945,669   

Dividends receivable

    113,074   

Deferred offering expense

    81,854   

Prepaid expenses

    5,332   
 

 

 

 

Total Assets

    191,241,134   
 

 

 

 

Liabilities:

 

Call options written (premiums received $9,954,894)

    6,380,632   

Put options written (premiums received $212,612)

    419,300   

Payable for investment advisory fees

    155,615   

Payable for payroll expenses

    45,990   

Payable for accounting fees

    11,250   

Other accrued expenses

    110,706   
 

 

 

 

Total Liabilities

    7,123,493   
 

 

 

 

Net Assets

 

(applicable to 21,050,861 shares

outstanding)

  $ 184,117,641   
 

 

 

 

Net Assets Consist of:

 

Paid-in capital

  $ 329,335,320   

Distributions in excess of net investment income

    (6,629

Accumulated net realized loss on investments, written options, and foreign currency transactions

    (37,301,158

Net unrealized depreciation on investments

    (111,277,474

Net unrealized appreciation on written options

    3,367,574   

Net unrealized appreciation on foreign currency translations

    8   
 

 

 

 

Net Assets

  $ 184,117,641   
 

 

 

 

Net Asset Value per Common Share:

 

($184,117,641 ÷ 21,050,861 shares outstanding at $0.001 par value; unlimited number of shares authorized)

    $8.75   

Statement of Operations

For the Year Ended December 31, 2014

     

 

Investment Income:

 

Dividends (net of foreign withholding taxes of $231,449)

  $ 3,339,447   

Interest

    153   
 

 

 

 

Total Investment Income

    3,339,600   
 

 

 

 

Expenses:

 

Investment advisory fees

    2,269,337   

Payroll expenses

    125,674   

Shareholder communications expenses

    108,590   

Legal and audit fees

    91,048   

Trustees’ fees

    80,000   

Accounting fees

    45,000   

Custodian fees

    28,750   

Shareholder services fees

    19,162   

Interest expense

    1,986   

Miscellaneous expenses

    68,155   
 

 

 

 

Total Expenses

    2,837,702   
 

 

 

 

Net Investment Income

    501,898   
 

 

 

 

Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency:

 

Net realized loss on investments

    (33,176,055

Net realized gain on written options

    17,711,729   

Net realized loss on foreign currency transactions

    (25,775
 

 

 

 

Net realized loss on investments, written options, and foreign currency transactions

    (15,490,101
 

 

 

 

Net change in unrealized appreciation/depreciation:

  

on investments

    (7,677,037

on written options

    (142,191

on foreign currency translations

    (14,740
 

 

 

 

Net change in unrealized appreciation/depreciation on investments, written options, and foreign currency translations

    (7,833,968
 

 

 

 

Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency

    (23,324,069 ) 
 

 

 

 

Net Decrease in Net Assets Resulting from Operations

  $ (22,822,171 ) 
 

 

 

 
 

 

See accompanying notes to financial statements.

 

8


GAMCO Natural Resources, Gold & Income Trust

Statement of Changes in Net Assets

 

 

 

     Year Ended
December 31, 2014
  Year Ended
December 31, 2013

Operations:

        

Net investment income

     $ 501,898       $ 1,286,452  

Net realized loss on investments, written options, and foreign currency transactions

       (15,490,101 )       (12,260,418 )

Net change in unrealized depreciation on investments, written options, and foreign currency translations

       (7,833,968 )       (20,771,476 )
    

 

 

     

 

 

 

Net Decrease in Net Assets Resulting from Operations

       (22,822,171 )       (31,745,442 )
    

 

 

     

 

 

 

Distributions to Common Shareholders:

        

Net investment income

       (482,752 )       (1,295,127 )

Return of capital

       (22,252,178 )       (30,182,119 )
    

 

 

     

 

 

 

Total Distributions to Common Shareholders

       (22,734,930 )       (31,477,246 )
    

 

 

     

 

 

 

Fund Share Transactions:

        

Net increase in net assets from common shares issued upon reinvestment of distributions

               1,933,308  
    

 

 

     

 

 

 

Net Increase in Net Assets from Fund Share Transactions

               1,933,308  
    

 

 

     

 

 

 

Net Decrease in Net Assets Attributable to Common Shareholders

       (45,557,101 )       (61,289,380 )

Net Assets Attributable to Common Shareholders:

        

Beginning of year

       229,674,742         290,964,122  
    

 

 

     

 

 

 

End of year (including undistributed net investment income of $0 and $0, respectively)

     $ 184,117,641       $ 229,674,742  
    

 

 

     

 

 

 

See accompanying notes to financial statements.

 

9


GAMCO Natural Resources, Gold & Income Trust

Financial Highlights

 

 

Selected data for a common share of beneficial interest outstanding throughout each period:

 

    Year Ended
December 31, 2014
    Year Ended
December 31, 2013
    Year Ended
December 31, 2012
    Period Ended
December 31, 2011(a)
 

Operating Performance:

       

Net asset value, beginning of year

  $ 10.91      $ 13.93      $ 15.06      $ 19.06 (b) 
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    0.02        0.06        0.11        0.02   

Net realized and unrealized gain/(loss) on investments, written options, and foreign currency transactions

    (1.10     (1.58     0.44        (2.76
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

    (1.08     (1.52     0.55        (2.74
 

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Common Shareholders:

       

Net investment income

    (0.02     (0.06     (0.10     (0.05

Net realized short term gains

                  (1.05     (0.86

Net realized long term gains

                  (0.04       

Return of capital

    (1.06     (1.44     (0.49     (0.35
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions to common shareholders

    (1.08     (1.50     (1.68     (1.26
 

 

 

   

 

 

   

 

 

   

 

 

 

Fund Share Transactions:

       

Increase/(Decrease) in net asset value from common share transactions

           (0.00 )(c)      0.00 (c)      0.00 (c) 
 

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Year

  $ 8.75      $ 10.91      $ 13.93      $ 15.06   
 

 

 

   

 

 

   

 

 

   

 

 

 

NAV total return†

    (11.25 )%      (11.22 )%      3.90     (15.00 )% 
 

 

 

   

 

 

   

 

 

   

 

 

 

Market value, end of year

  $ 8.07      $ 10.02      $ 13.69      $ 13.44   
 

 

 

   

 

 

   

 

 

   

 

 

 

Investment total return††

    (10.48 )%      (16.78 )%      14.25     (27.46 )% 
 

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets and Supplemental Data:

       

Net assets, end of year (in 000’s)

  $ 184,118      $ 229,671      $ 290,964      $ 310,777   

Ratio of net investment income to average net assets

    0.22     0.51     0.75     0.10

Ratio of operating expenses to average net assets

    1.25     1.22     1.17     1.17

Portfolio turnover rate

    101.5     81.5     51.6     37.5

 

Based on net asset value per share, adjusted for reinvestment of distributions at the net asset value per share on the ex-dividend dates. Total return for a period of less than one year is not annualized.
†† Based on market value per share, adjusted for reinvestment of distributions at prices determined under the Fund’s dividend reinvestment plan.
(a) The Fund commenced investment operations on January 27, 2011.
(b) The beginning of period NAV reflects a $0.04 reduction of costs associated with the initial public offering.
(c) Amount represents less than $0.005 per share.

See accompanying notes to financial statements.

 

10


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements

 

 

1. Organization. The GAMCO Natural Resources, Gold & Income Trust (the “Fund”) is a non-diversified closed-end management investment company organized as a Delaware statutory trust on June 26, 2008 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Investment operations commenced on January 27, 2011.

The Fund’s primary investment objective is to provide a high level of current income from interest, dividends, and option premiums. The Fund’s secondary investment objective is to seek capital appreciation consistent with the Fund’s strategy and its primary objective. The Fund will attempt to achieve its objectives, under normal market conditions, by investing at least 80% of its assets in equity securities of companies principally engaged in the natural resources and gold industries. As part of its investment strategy, the Fund intends to generate current income from short term gains through an option strategy of writing (selling) covered call options of the equity securities in its portfolio. The Fund may invest in the securities of companies located anywhere in the world.

2. Significant Accounting Policies. As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (“GAAP”) that may require the use of management estimates and assumptions in the preparation of its financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the “Board”) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the “Adviser”).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations.

 

11


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

  Level 1 — quoted prices in active markets for identical securities;

 

  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

 

  Level 3 — significant unobservable inputs (including the Board’s determinations as to the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of December 31, 2014 is as follows:

 

     Valuation Inputs                                        
     Level 1
Quoted Prices
  Level 2 Other Significant
Observable Inputs
  Level 3 Other Significant
Unobservable Inputs
  Total Market Value
at 12/31/14

INVESTMENTS IN SECURITIES:

                

ASSETS (Market Value):

                

Common Stocks:

                

Metals and Mining

     $ 95,494,566       $ 468,090               $ 95,962,656  

Other Industries (a)

       79,851,839                         79,851,839  

Total Common Stocks

       175,346,405         468,090                 175,814,495  

U.S. Government Obligations

               12,248,607                 12,248,607  

TOTAL INVESTMENTS IN SECURITIES – ASSETS

     $ 175,346,405       $ 12,716,697               $ 188,063,102  

INVESTMENTS IN SECURITIES:

                

LIABILITIES (Market Value):

                

EQUITY CONTRACTS:

                

Call Options Written

     $ (2,554,589 )     $ (3,793,107 )     $ (32,936 )     $ (6,380,632 )

Put Options Written

       (419,300 )                       (419,300 )

TOTAL INVESTMENTS IN SECURITIES – LIABILITIES

     $ (2,973,889 )     $ (3,793,107 )     $ (32,936 )     $ (6,799,932 )

 

(a) Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

The Fund did not have transfers between Level 1 and Level 2 during the year ended December 31, 2014. The Fund’s policy is to recognize transfers among Levels as of the beginning of the reporting period.

 

12


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds is ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation. Fair valued securities may be common and preferred equities, warrants, options, rights, and fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. Among the factors to be considered to fair value a security are recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These include back testing the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purposes of increasing the income of the Fund, hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

Collateral requirements differ by type of derivative. Collateral requirements are set by the broker or exchange clearing house for exchange traded derivatives, while collateral terms are contract specific for derivatives traded over-the-counter. Securities pledged to cover obligations of the Fund under derivative contracts are noted in the Schedule of Investments. Cash collateral, if any, pledged for the same purpose will be reported separately as, Deposit at brokers, in the Statement of Assets and Liabilities.

 

13


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

The Fund’s policy with respect to offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

The Fund’s derivative contracts held at December 31, 2014, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short term interest rates and the returns on the Fund’s portfolio securities at the time an equity contract for difference swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

Unrealized gains related to swaps are reported as an asset and unrealized losses are reported as a liability in the Statement of Assets and Liabilities. The change in value of swaps, including the accrual of periodic amounts of interest to be received or paid on swaps, is reported as unrealized gain or loss in the Statement of Operations. A realized gain or loss is recorded upon receipt or payment of a periodic payment or termination of swap agreements. During the year ended December 31, 2014, the Fund held no investments in equity contract for difference swap agreements.

Options. The Fund may purchase or write call or put options on securities or indices for the purpose of increasing the income of the Fund. The Fund primarily writes covered call or put options. As a writer of put options, the Fund receives a premium at the outset and then bears the risk of unfavorable changes in the price of the financial instrument underlying the option. The Fund would incur a loss if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. The Fund would realize a gain, to the extent of the premium, if the price of the financial instrument increases between those dates.

As a purchaser of put options, the Fund pays a premium for the right to sell to the seller of the put option the underlying security at a specified price. The seller of the put has the obligation to purchase the underlying security upon exercise at the exercise price. If the price of the underlying security declines, the Fund would realize a gain upon sale or exercise. If the price of the underlying security increases or stays the same, the Fund would realize a loss upon sale or at the expiration date, but only to the extent of the premium paid.

If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the security. In the case of call options, the exercise prices are referred to as “in-the-money,” “at-the-money,” and “out-of- the-money,” respectively. The Fund may write (a) in-the-money call options when the Adviser expects that the price of the underlying security will remain stable or decline

 

14


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

during the option period, (b) at-the-money call options when the Adviser expects that the price of the underlying security will remain stable, decline, or advance moderately during the option period, and (c) out-of-the-money call options when the Adviser expects that the premiums received from writing the call option will be greater than the appreciation in the price of the underlying security above the exercise price. By writing a call option, the Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. Out-of-the-money, at-the-money, and in-the-money put options (the reverse of call options as to the relation of exercise price to market price) may be utilized in the same market environments that such call options are used in equivalent transactions. Option positions at December 31, 2014 are reflected within the Schedule of Investments.

The Fund’s volume of activity in equity options contracts during the year ended December 31, 2014 had an average monthly market value of approximately $10,722,118. Please refer to Note 4 for option activity during the year ended December 31, 2014.

At December 31, 2014, the Fund’s derivative liabilities (by type) are as follows:

 

   

Gross Amounts of

Recognized Liabilities

Presented in the

Statement of

Assets and Liabilities

  

Gross Amounts

Available for

Offset in the

Statement of Assets

and Liabilities

  

Net Amounts of

Liabilities Presented in

the Statement of

Assets and Liabilities

Liabilities

       

Equity Written Options

  $6,799,932       $6,799,932

The following table presents the Fund’s derivative liabilities by counterparty net of the related collateral segregated by the Fund as of December 31, 2014:

 

         Gross Amounts Not Offset in the Statement of
Assets and Liabilities
    
     Net Amounts of
Liabilities Presented in
the Statement of Assets
and Liabilities
 

Financial

Instruments

  

Cash Collateral

Pledged

   Net Amount

Counterparty

                  

Pershing LLC

     $ (6,112,957 )     $ 6,112,957                    

Morgan Stanley

       (686,975 )       686,975                    
    

 

 

     

 

 

      

 

 

      

 

 

 

Total

     $ (6,799,932 )     $ 6,799,932                    
    

 

 

     

 

 

      

 

 

      

 

 

 

As of December 31, 2014, the value of equity option positions can be found in the Statement of Assets and Liabilities under Liabilities, Call options written and Put options written. For the year ended December 31, 2014, the effect of equity option positions can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency, Net realized gain on written options and Net change in unrealized appreciation/depreciation on written options.

Limitations on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps. Subject to the guidelines of the Board, the Fund may engage in “commodity interest” transactions (generally, transactions in futures, certain options, certain currency transactions, and certain types of swaps) only for bona fide hedging or other permissible transactions in accordance with the rules and regulations of the Commodity Futures Trading

 

15


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

Commission (“CFTC”). Pursuant to amendments by the CFTC to Rule 4.5 under the Commodity Exchange Act (“CEA”), the Adviser has filed a notice of exemption from registration as a “commodity pool operator” with respect to the Fund. The Fund and the Adviser are therefore not subject to registration or regulation as a commodity pool operator under the CEA. In addition, certain trading restrictions are now applicable to the Fund as of January 1, 2013. These trading restrictions permit the Fund to engage in commodity interest transactions that include (i) “bona fide hedging” transactions, as that term is defined and interpreted by the CFTC and its staff, without regard to the percentage of the Fund’s assets committed to margin and options premiums and (ii) non-bona fide hedging transactions, provided that the Fund does not enter into such non-bona fide hedging transactions if, immediately thereafter, either (a) the sum of the amount of initial margin deposits on the Fund’s existing futures positions or swaps positions and option or swaption premiums would exceed 5% of the market value of the Fund’s liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notional value of the Fund’s commodity interest transactions would not exceed 100% of the market value of the Fund’s liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions. Therefore, in order to claim the Rule 4.5 exemption, the Fund is limited in its ability to invest in commodity futures, options, and certain types of swaps (including securities futures, broad based stock index futures, and financial futures contracts). As a result, in the future, the Fund will be more limited in its ability to use these instruments than in the past, and these limitations may have a negative impact on the ability of the Adviser to manage the Fund, and on the Fund’s performance.

Securities Sold Short. The Fund may enter into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted periodically as the value of the position fluctuates. During the year ended December 31, 2014, there were no short sales outstanding.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.

 

16


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on the accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

Custodian Fee Credits and Interest Expense. When cash balances are maintained in the custody account, the Fund receives credits which are used to offset custodian fees. The gross expenses paid under the custody arrangement are included in custodian fees in the Statement of Operations with the corresponding expense offset, if any, shown as “Custodian fee credits.” When cash balances are overdrawn, the Fund is charged an overdraft fee equal to 110% of the 90 day Treasury Bill rate on outstanding balances. This amount, if any, would be included in the Statement of Operations.

Distributions to Shareholders. Distributions to common shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. Permanent differences were primarily due to the tax treatment of currency gains and losses. These reclassifications have no impact on the NAV of the Fund. For the year ended December 31, 2014, reclassifications were made to decrease distributions in excess of net investment income by $25,775 and increase accumulated net realized loss on investments, written options, and foreign currency by $25,775.

The Fund declares and pays monthly distributions from net investment income, capital gains, and paid-in capital. The actual source of the distribution is determined after the end of the year. Distributions during the year may be made in excess of required distributions. Distributions sourced from paid-in capital should not be considered as dividend yield or the total return from an investment in the Fund. The Board will continue to monitor the Fund’s distribution level, taking into consideration the Fund’s NAV and the financial market environment. The Fund’s distribution policy is subject to modification by the Board at any time.

 

17


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

The tax character of distributions paid during the years ended December 31, 2014 and 2013 was as follows:

 

     Year Ended
December 31, 2014
   Year Ended
December 31, 2013

Distributions paid from:

         

Ordinary income

     $ 482,752        $ 1,295,127  

Return of capital

       22,252,178          30,182,119  
    

 

 

      

 

 

 

Total distributions paid

     $ 22,734,930        $ 31,477,246  
    

 

 

      

 

 

 

Provision for Income Taxes. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.

As of December 31, 2014, the components of accumulated earnings/losses on a tax basis were as follows:

 

Accumulated capital loss carryforwards

   $ (28,724,340

Net unrealized depreciation on investments, written options, and foreign currency translations

     (113,005,409

Qualified late year loss deferral*

     (3,487,930
  

 

 

 

Total

   $ (145,217,679
  

 

 

 

 

* Under the current law, qualified late year losses realized after October 31 and prior to the Fund’s year end may be elected as occurring on the first day of the following year. For the year ended December 31, 2014, the Fund elected to defer $3,481,301 and $6,629, of late year long term capital losses and foreign currency losses, respectively.

At December 31, 2014, the Fund had net capital loss carryforwards for federal income tax purposes which are available to reduce future required distributions of net capital gains to shareholders for an unlimited period. These capital losses will retain their character as long term capital losses.

 

Total long term capital loss carryforward post-effective with no expiration

   $ 28,724,340   

Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward for an unlimited period capital losses incurred. As a result of the rule, post-enactment capital losses that are carried forward will retain their character as either short term or long term capital losses rather than being considered all short term as under previous law.

At December 31, 2014, the differences between book basis and tax basis unrealized appreciation/depreciation were primarily due to deferral of losses from wash sales for federal tax purposes.

The following summarizes the tax cost of investments, written options, and the related net unrealized appreciation/depreciation at December 31, 2014:

 

     Cost/
Premiums
     Gross
Unrealized
Appreciation
     Gross
Unrealized
Depreciation
     Net
Unrealized
Appreciation/
Depreciation
 

Investments

   $ 304,436,093       $ 713,029       $ (117,086,020    $ (116,372,991

Written options

     10,167,506         4,743,466         (1,375,892      3,367,574   
     

 

 

    

 

 

    

 

 

 
      $ 5,456,495       $ (118,461,912    $ (113,005,417
     

 

 

    

 

 

    

 

 

 

The Fund is required to evaluate tax positions expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable

 

18


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. For the year ended December 31, 2014, the Fund did not incur any income tax, interest, or penalties. As of December 31, 2014, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. The Fund’s federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Agreements and Transactions with Affiliates. The Fund has entered into an investment advisory agreement (the “Advisory Agreement”) with the Adviser which provides that the Fund will pay the Adviser a fee, computed weekly and paid monthly, equal on an annual basis to 1.00% of the value of the Fund’s average weekly net assets. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio and oversees the administration of all aspects of the Fund’s business and affairs.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the Adviser. During the year ended December 31, 2014, the Fund paid or accrued $45,000 to the Adviser in connection with the cost of computing the Fund’s NAV.

As per the approval of the Board, the Fund compensates officers of the Fund, who are employed by the Fund and are not employed by the Adviser (although the officers may receive incentive based variable compensation from affiliates of the Adviser). For the year ended December 31, 2014, the Fund paid or accrued $125,674 in payroll expenses in the Statement of Operations.

The Fund pays each Trustee who is not considered an affiliated person an annual retainer of $3,000 plus $1,000 for each Board meeting attended. Each Trustee is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings. All Board committee members receive $500 per meeting attended, the Audit Committee Chairman receives an annual fee of $3,000, the Nominating Committee Chairman and the Lead Trustee each receive an annual fee of $2,000. A Trustee may receive a single meeting fee, allocated among the participating funds, for participation in certain meetings held on behalf of multiple funds. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

4. Portfolio Securities. Purchases and sales of securities during the year ended December 31, 2014, other than short term securities and U.S. Government obligations, aggregated $220,640,448 and $223,889,614, respectively.

Written options activity for the Fund for the year ended December 31, 2014 was as follows:

 

     Number of
Contracts
     Premiums  

Options outstanding at December 31, 2013

     174,731       $ 11,124,627   

Options written

     253,380         29,127,934   

Options repurchased

     (27,356      (3,754,374

Options expired

     (141,808      (15,644,444

Options exercised

     (162,540      (10,686,237
  

 

 

    

 

 

 

Options outstanding at December 31, 2014

     96,407       $ 10,167,506   
  

 

 

    

 

 

 

 

19


GAMCO Natural Resources, Gold & Income Trust

Notes to Financial Statements (Continued)

 

 

 

5. Capital. The Fund is authorized to issue an unlimited number of common shares of beneficial interest (par value $0.001). The Board has authorized the repurchase of its shares in the open market when the shares are trading at a discount of 10.0% or more (or such other percentage as the Board may determine from time to time) from the NAV of the shares. During the years ended December 31, 2014 and 2013, the Fund did not repurchase any shares of beneficial interest.

Transactions in shares of beneficial interest were as follows:

 

     Year Ended
December 31, 2014
   Year Ended
December 31, 2013
     Shares    Amount    Shares    Amount

Shares issued upon reinvestment of distributions.

                $—          157,818          $1,933,308  
    

 

 

      

 

 

      

 

 

      

 

 

 

6. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

7. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

20


GAMCO Natural Resources, Gold & Income Trust

Report of Independent Registered Public Accounting Firm

 

 

 

To the Board of Directors and Shareholders of

GAMCO Natural Resources, Gold & Income Trust:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GAMCO Natural Resources, Gold & Income Trust (hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 27, 2015

 

21


GAMCO Natural Resources, Gold & Income Trust

Additional Fund Information (Unaudited)

 

 

The business and affairs of the Fund are managed under the direction of the Fund’s Board of Trustees. Information pertaining to the Trustees and officers of the Fund is set forth below. The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available without charge, upon request, by calling 800-GABELLI (800-422-3554) or by writing to GAMCO Natural Resources, Gold & Income Trust at One Corporate Center, Rye, NY 10580-1422.

 

Name, Position(s)

Address1

and Age

  

Term of Office
and Length of
Time Served2

 

Number of Funds

in Fund Complex

Overseen by Trustee

  

Principal Occupation(s)

During Past Five Years

  

Other Directorships

Held by Trustee4

INDEPENDENT TRUSTEES:

          

Anthony J. Colavita

Trustee

Age: 79

   Since 2008*   37    President of the law firm of Anthony J. Colavita, P.C.   

James P. Conn

Trustee

Age: 76

   Since 2008**   21    Former Managing Director and Chief Investment Officer of Financial Security Assurance Holdings Ltd. (1992-1998)    Director of First Republic Bank (banking) through January 2008

Mario d’Urso

Trustee

Age: 74

   Since 2008***   5    Chairman of Mittel Capital Markets S.p.A.(2001-2008); Senator in the Italian Parliament (1996-2001)   

Vincent D. Enright

Trustee

Age: 71

   Since 2008**   17    Former Senior Vice President and Chief Financial Officer of KeySpan Corporation (public utility) (1994-1998)    Director of Echo Therapeutics, Inc. (therapeutics and diagnostics) (2008-2014); Director of the LGL Group, Inc. (diversified manufacturing) (2011-2014)

Frank J. Fahrenkopf, Jr.

Trustee

Age: 75

   Since 2008*   8    Former President and Chief Executive Officer of the American Gaming Association (1995- 2013); Co-Chairman of the Commission on Presidential Debates; Former Chairman of the Republican National Committee (1983-1989)    Director of First Republic Bank (banking)

William F. Heitmann

Trustee

Age: 65

   Since 2011*   3    Senior Vice President of Finance, Verizon Communications, and President, Verizon Investment Management (1971-2011)   

Michael J. Melarkey

Trustee

Age: 65

   Since 2008***   5    Partner in the law firm of Avansino, Melarkey, Knobel, Mulligan, & McKenzie; Owner in Pioneer Crossing Casino Group    Director of Southwest Gas Corporation (natural gas utility)

Kuni Nakamura

Trustee

Age: 46

   Since 2008**   14    President of Advanced Polymer, Inc. (chemical wholesale company), President of KEN Enterprise, Inc.   

Anthonie C. van Ekris

Trustee

Age: 80

   Since 2008***   20    Chairman of BALMAC International, Inc. (commodities and futures trading)   

Salvatore J. Zizza

Trustee

Age: 69

   Since 2008*   31    Chairman (since 1978) of Zizza & Associates Corp. (financial consulting); Chairman (since 2005) of Metropolitan Paper Recycling, Inc. (recycling); Chairman (since 1999) of Harbor BioSciences, Inc. (biotechnology)    Director and Vice Chairman of Trans-Lux Corporation (business services); Director and Chairman of Harbor Diversified Inc. (pharmaceuticals); Chairman of Bion Environmental Technologies (technology); Director, Chairman, and CEO of General Employment Enterprises (staffing services) (2009-2012)

 

22


GAMCO Natural Resources, Gold & Income Trust

Additional Fund Information (Continued) (Unaudited)

 

 

 

Name, Position(s)

Address1

and Age

   Term of Office
and Length of
Time Served2
    

Principal Occupation(s)

During Past Five Years

OFFICERS:

       

Bruce N. Alpert

President

Age: 63

   Since 2011      Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC since 1988; and an Officer of registered investment companies in the Gabelli/GAMCO Fund Complex; Director of Teton Advisors, Inc. 1998-2012; Chairman of Teton Advisors, Inc. 2008-2010; President of Teton Advisors, Inc. 1998-2008; Senior Vice President of GAMCO Investors, Inc. since 2008

Andrea R. Mango

Vice President

and Secretary

Age: 42

   Since November

2013

     Counsel of Gabelli Funds, LLC; Corporate Vice President within the Corporate Compliance Department of New York Life Insurance Company 2011-2013; Vice President and Counsel of Deutsche Bank 2006-2011

Agnes Mullady

Treasurer

Age: 56

   Since 2011      President and Chief Operating Officer of the Open-End Fund Division of Gabelli Funds, LLC since September 2010; Senior Vice President of GAMCO Investors, Inc. since 2009; Vice President of Gabelli Funds, LLC since 2007; Officer of all of the registered investment companies in the Gabelli/GAMCO Fund Complex

Richard J. Walz

Chief Compliance Officer

Age: 55

   Since November

2013

     Chief Compliance Officer of the Gabelli/GAMCO Fund Complex; Chief Compliance Officer of AEGON USA Investment Management LLC 2011-2013; Chief Compliance Officer of Cutwater Asset Management 2004-2011

Carter W. Austin

Vice President

Age: 48

   Since 2011      Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Senior Vice President of Gabelli Funds, LLC since 2015

Molly A.F. Marion

Vice President and

Ombudsman

Age: 61

   Since 2011      Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Vice President of GAMCO Investors, Inc. since 2012

David I. Schachter

Vice President and

Ombudsman

Age: 61

   Since 2011      Vice President and/or Ombudsman of closed-end funds within the Gabelli/GAMCO Fund Complex; Senior Vice President of Gabelli Funds, LLC since 2015

 

1 Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.
2 The Fund’s Board of Trustees is divided into three classes, each class having a term of three years. Each year the term of office of one class expires and the successor or successors elected to such class serve for a three year term. The three year term for each class expires as follows:
  * — Term expires at the Fund’s 2015 Annual Meeting of Shareholders or until their successors are duly elected and qualified.
  ** — Term expires at the Fund’s 2016 Annual Meeting of Shareholders or until their successors are duly elected and qualified.
  *** — Term expires at the Fund’s 2017 Annual Meeting of Shareholders or until their successors are duly elected and qualified.
  Each  officer will hold office for an indefinite term until the date he or she resigns or retires or until his or her successor is elected and qualified.
3 Trustees who are not interested persons are considered “Independent” Trustees.
4 This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended, i.e., public companies, or other investment companies registered under the 1940 Act.

 

This Fund intends to generate current income from short term gains primarily through its strategy of writing (selling) covered call options on the equity securities in its portfolio. Because of its primary strategy the Fund forgoes the opportunity to participate fully in the appreciation of the underlying equity security above the exercise price of the option. It also is subject to the risk of depreciation of the underlying equity security in excess of the premium received.

 

23


GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST

INCOME TAX INFORMATION (Unaudited)

December 31, 2014

Cash Dividends and Distributions

 

     Payable
Date
     Record
Date
     Total Amount
Paid

Per Share (a)
     Ordinary
Investment
Income (a)
     Long Term
Capital
Gains (a)
     Return of
Capital (b)(d)
     Foreign
Tax
Credit (a)
     Dividend
Reinvestment
Price
 

Common Stock

                       
     01/24/14         01/17/14         $0.09000         $0.00190         $—         $0.08810                 $10.94000   
     02/21/14         02/14/14         0.09000         0.00190                 0.08810                 11.16000   
     03/24/14         03/17/14         0.09000         0.00190                 0.08810                 11.33000   
     04/23/14         04/15/14         0.09000         0.00190                 0.08810                 11.11000   
     05/22/14         05/15/14         0.09000         0.00190                 0.08810                 11.25000   
     06/23/14         06/16/14         0.09000         0.00190                 0.08810                 11.25000   
     07/24/14         07/17/14         0.09000         0.00190                 0.08810                 11.51000   
     08/22/14         08/15/14         0.09000         0.00190                 0.08810                 11.56000   
     09/23/14         09/16/14         0.09000         0.00190                 0.08810                 10.97000   
     10/24/14         10/17/14         0.09000         0.00190                 0.08810                 9.74000   
     11/20/14         11/13/14         0.09000         0.00190                 0.08810                 9.11000   
     12/19/14         12/12/14         0.09000         0.00190                 0.08810                 8.63000   
        

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    
           $1.08000         $0.02280         $—         $1.05720              

A Form 1099-DIV has been mailed to all shareholders of record which sets forth specific amounts to be included in your 2014 tax returns. Ordinary distributions include net investment income, realized net short term capital gains and foreign tax paid. Ordinary income is reported in box 1a of Form 1099-DIV. Capital gain distributions are reported in box 2a of Form 1099-DIV.

Corporate Dividends Received Deduction, Qualified Dividend Income, and U.S. Government Securities Income

In 2014, the Fund paid to common shareholders ordinary income dividends of $0.02280 per share. For 2014, 1.21% of the ordinary dividend qualified for the dividend received deduction available to corporations, 13.68% of the ordinary income distribution was deemed qualified dividend income, and 0.00% of ordinary income distribution was qualified interest income. The percentage of ordinary income dividends paid by the Fund during 2014 derived from U.S. Government securities was 0.00%. Such income is exempt from state and local taxes in all states. However, many states, including New York and California, allow a tax exemption for a portion of the income earned only if a mutual fund has invested at least 50% of its assets at the end of each quarter of its fiscal year in U.S. Government securities. The Fund did not meet this strict requirement in 2014. The percentage of U.S. Government securities held as of December 31, 2014 was 6.57%.

Historical Distribution Summary

 

     Investment
Income (c)
     Short Term
Capital
Gains (c)
     Long Term
Capital
Gains
     Return of
Capital (b)
     Foreign
Tax
Credit (c)
     Total
Distributions
(a)
     Adjustment
to Cost
Basis (d)
 

Common Shares

                    

2014

     $0.02280                         $1.05720                 $1.08000         $1.05720   

2013

     0.07110                         1.42890         $(0.01020)         1.48980         1.42890   

2012

     0.12030         $1.04790         $0.04380         0.46800         (0.01740)         1.66260         0.46800   

2011

     0.04770         0.86670                 0.34560                 1.26000         0.34560   

 

(a) Total amounts may differ due to rounding.
(b) Non-taxable.
(c) Taxable as ordinary income for Federal tax purposes.
(d) Decrease in cost basis.

 

All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

 

24


AUTOMATIC DIVIDEND REINVESTMENT

AND VOLUNTARY CASH PURCHASE PLANS

Enrollment in the Plan

It is the policy of GAMCO Natural Resources, Gold & Income Trust to automatically reinvest dividends payable to common shareholders. As a “registered” shareholder you automatically become a participant in the Fund’s Automatic Dividend Reinvestment Plan (the “Plan”). The Plan authorizes the Fund to credit common shares to participants upon an income dividend or a capital gains distribution regardless of whether the shares are trading at a discount or a premium to net asset value. All distributions to shareholders whose shares are registered in their own names will be automatically reinvested pursuant to the Plan in additional shares of the Fund. Plan participants may send their share certificates to American Stock Transfer (“AST”) to be held in their dividend reinvestment account. Registered shareholders wishing to receive their distributions in cash must submit this request in writing to:

GAMCO Natural Resources, Gold & Income Trust

c/o American Stock Transfer

6201 15th Avenue

Brooklyn, NY 11219

Shareholders requesting this cash election must include the shareholder’s name and address as they appear on the share certificate. Shareholders with additional questions regarding the Plan or requesting a copy of the terms of the Plan, may contact AST at (888) 422-3262.

If your shares are held in the name of a broker, bank, or nominee, you should contact such institution. If such institution is not participating in the Plan, your account will be credited with a cash dividend. In order to participate in the Plan through such institution, it may be necessary for you to have your shares taken out of “street name” and re-registered in your own name. Once registered in your own name your distributions will be automatically reinvested. Certain brokers participate in the Plan. Shareholders holding shares in “street name” at participating institutions will have dividends automatically reinvested. Shareholders wishing a cash dividend at such institution must contact their broker to make this change.

The number of common shares distributed to participants in the Plan in lieu of cash dividends is determined in the following manner. Under the Plan, whenever the market price of the Fund’s common shares is equal to or exceeds net asset value at the time shares are valued for purposes of determining the number of shares equivalent to the cash dividends or capital gains distribution, participants are issued common shares valued at the greater of (i) the net asset value as most recently determined or (ii) 95% of the then current market price of the Fund’s common shares. The valuation date is the dividend or distribution payment date or, if that date is not a NYSE Amex trading day, the next trading day. If the net asset value of the common shares at the time of valuation exceeds the market price of the common shares, participants will receive common shares from the Fund valued at market price. If the Fund should declare a dividend or capital gains distribution payable only in cash, AST will buy common shares in the open market, or on the NYSE Amex, or elsewhere, for the participants’ accounts, except that AST will endeavor to terminate purchases in the open market and cause the Fund to issue shares at net asset value if, following the commencement of such purchases, the market value of the common shares exceeds the then current net asset value.

The automatic reinvestment of dividends and capital gains distributions will not relieve participants of any income tax which may be payable on such distributions. A participant in the Plan will be treated for federal income tax purposes as having received, on a dividend payment date, a dividend or distribution in an amount equal to the cash the participant could have received instead of shares.

Voluntary Cash Purchase Plan

The Voluntary Cash Purchase Plan is yet another vehicle for our shareholders to increase their investment in the Fund. In order to participate in the Voluntary Cash Purchase Plan, shareholders must have their shares registered in their own name.

Participants in the Voluntary Cash Purchase Plan have the option of making additional cash payments to AST for investments in the Fund’s common shares at the then current market price. Shareholders may send an amount from $250 to $10,000. AST will use these funds to purchase shares in the open market on or about the 1st and 15th of each month. AST will charge each shareholder who participates a pro rata share of the brokerage commissions. Brokerage charges for such purchases are expected to be less than the usual brokerage charge for such transactions. It is suggested that any voluntary cash payments be sent to American Stock Transfer, 6201 15th Avenue, Brooklyn, NY 11219 such that AST receives such payments approximately 10 days before the investment date. Funds not received at least five days before the investment date shall be held for investment until the next purchase date. A payment may be withdrawn without charge if notice is received by AST at least 48 hours before such payment is to be invested.

Shareholders wishing to liquidate shares held at AST must do so in writing or by telephone. Please submit your request to the above mentioned address or telephone number. Include in your request your name, address, and account number. The cost to liquidate shares is $1.00 per transaction as well as the brokerage commission incurred. Brokerage charges are expected to be less than the usual brokerage charge for such transactions.

For more information regarding the Automatic Dividend Reinvestment Plan and Voluntary Cash Purchase Plan, brochures are available by calling (914) 921-5070 or by writing directly to the Fund.

The Fund reserves the right to amend or terminate the Plan as applied to any voluntary cash payments made and any dividend or distribution paid subsequent to written notice of the change sent to the members of the Plan at least 90 days before the record date for such dividend or distribution. The Plan also may be amended or terminated by AST on at least 90 days written notice to participants in the Plan.

 

25


GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST

AND YOUR PERSONAL PRIVACY

Who are we?

The GAMCO Natural Resources, Gold & Income Trust (the “Fund”) is a closed-end management investment company registered with the Securities and Exchange Commission under the Investment Company Act of 1940. We are managed by Gabelli Funds, LLC, which is affiliated with GAMCO Investors, Inc. GAMCO Investors, Inc. is a publicly held company that has subsidiaries that provide investment advisory or brokerage services for a variety of clients.

What kind of non-public information do we collect about you if you become a Fund shareholder?

When you purchase shares of the Fund on the New York Stock Exchange, you have the option of registering directly with our transfer agent in order, for example, to participate in our dividend reinvestment plan.

 

 

Information you give us on your application form. This could include your name, address, telephone number, social security number, bank account number, and other information.

 

 

Information about your transactions with us. This would include information about the shares that you buy or sell; it may also include information about whether you sell or exercise rights that we have issued from time to time. If we hire someone else to provide services — like a transfer agent — we will also have information about the transactions that you conduct through them.

What information do we disclose and to whom do we disclose it?

We do not disclose any non-public personal information about our customers or former customers to anyone other than our affiliates, our service providers who need to know such information, and as otherwise permitted by law. If you want to find out what the law permits, you can read the privacy rules adopted by the Securities and Exchange Commission. They are in volume 17 of the Code of Federal Regulations, Part 248. The Commission often posts information about its regulations on its website, www.sec.gov.

What do we do to protect your personal information?

We restrict access to non-public personal information about you to the people who need to know that information in order to provide services to you or the Fund and to ensure that we are complying with the laws governing the securities business. We maintain physical, electronic, and procedural safeguards to keep your personal information confidential.

 


GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Caesar M. P. Bryan joined GAMCO Asset Management in 1994. He is a member of the global investment team of Gabelli Funds, LLC and portfolio manager of several funds within the Gabelli/GAMCO Fund Complex. Prior to joining Gabelli, Mr. Bryan was a portfolio manager at Lexington Management. He began his investment career in 1979 at Samuel Montagu Company, the London based merchant bank. Mr. Bryan graduated from the University of Southampton in England with a Bachelor of Law and is a member of the English Bar.

Vincent Hugonnard-Roche joined GAMCO Investors, Inc. in 2000. He is Director of Quantitative Strategies, head of the Gabelli Risk Management Group, serves as a portfolio manager of Gabelli Funds, LLC, and manages several funds within the Gabelli/GAMCO Fund Complex. He received a Master’s degree in Mathematics of Decision Making from EISITI, France and an MS in Finance from ESSEC, France.

 

We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due to corporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfolio managers’ commentary is unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabeli.com.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Specialized Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Specialized Equity Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

The NASDAQ symbol for the Net Asset Value is “XGNTX.”

 

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at a discount of 10% or more from the net asset value of the shares.


GAMCO NATURAL RESOURCES, GOLD

& INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

 

t   800-GABELLI (800-422-3554)
f   914-921-5118
e   info@gabelli.com

    GABELLI.COM

 

 

 

TRUSTEES

   OFFICERS

Anthony J. Colavita

   Bruce N. Alpert

President,

   President

Anthony J. Colavita, P.C.

  
   Andrea R. Mango

James P. Conn

   Secretary & Vice President

Former Managing Director &

  

Chief Investment Officer,

   Agnes Mullady

Financial Security Assurance

   Treasurer

Holdings Ltd.

  
   Richard J. Walz

Mario d’Urso

   Chief Compliance Officer

Former Italian Senator

  
   Carter W. Austin
   Vice President

Vincent D. Enright

  

Former Senior Vice President &

   Molly A.F. Marion

Chief Financial Officer,

   Vice President & Ombudsman

KeySpan Corp.

  
   David I. Schachter

Frank J. Fahrenkopf, Jr.

   Vice President & Ombudsman

Former President &

  

Chief Executive Officer,

   INVESTMENT ADVISER

American Gaming Association

  
   Gabelli Funds, LLC

William F. Heitmann

   One Corporate Center

Former Senior Vice President

   Rye, New York 10580-1422

of Finance,

  

Verizon Communications, Inc.

   CUSTODIAN
  

 

The Bank of New York Mellon

Michael J. Melarkey

  

Partner,

   COUNSEL

Avansino, Melarkey, Knobel,

  

Mulligan & McKenzie

   Skadden, Arps, Slate, Meagher & Flom LLP

Kuni Nakamura

  

President,

   TRANSFER AGENT AND

Advanced Polymer, Inc.

   REGISTRAR
  

 

American Stock Transfer and

Anthonie C. van Ekris

   Trust Company

Chairman,

  

BALMAC International, Inc.

  

Salvatore J. Zizza

  

Chairman,

  

Zizza & Associates Corp.

  

 

 

 

GNT Q4/2014

LOGO

 


Item 2. Code of Ethics.

 

  (a)

The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

  (c)

There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

 

  (d)

The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Salvatore J. Zizza is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

 

  (a)

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $35,530 for 2013 and $36,596 for 2014.

Audit-Related Fees

 

  (b)

The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2013 and $0 for 2014. Audit-related fees represent services provided in the preparation of Preferred Shares Reports.


Tax Fees

 

  (c)

The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $4,940 for 2013 and $5,090 for 2014. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns.

All Other Fees

 

  (d)

The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $40,000 for 2013 and $40,000 for 2014. All other fees represent straddle analysis performed.

 

(e)(1)  

Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to the Adviser, Gabelli Funds, LLC, and any affiliate of Gabelli Funds, LLC (“Gabelli”) that provides services to the registrant (a “Covered Services Provider”) if the independent registered public accounting firm’s engagement related directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to the other persons (other than Gabelli or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (ii) such services are promptly brought to the attention of the Committee and approved by the Committee or Chairperson prior to the completion of the audit.

 

(e)(2)  

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b)   N/A

(c)   100%

(d)   100%


  (f)

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

 

  (g)

The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $246,060 for 2013 and $304,860 for 2014.

 

  (h)

The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

The registrant has a separately designated audit committee consisting of the following members:

Salvatore J. Zizza.

Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

(b)

Not applicable.


Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The Proxy Voting Policies are attached herewith.

The Voting of Proxies on Behalf of Clients

Rules 204(4)-2 and 204-2 under the Investment Advisers Act of 1940 and Rule 30b1-4 under the Investment Company Act of 1940 require investment advisers to adopt written policies and procedures governing the voting of proxies on behalf of their clients.

These procedures will be used by GAMCO Asset Management Inc., Gabelli Funds, LLC, Gabelli Securities, Inc., and Teton Advisors, Inc. (collectively, the “Advisers”) to determine how to vote proxies relating to portfolio securities held by their clients, including the procedures that the Advisers use when a vote presents a conflict between the interests of the shareholders of an investment company managed by one of the Advisers, on the one hand, and those of the Advisers; the principal underwriter; or any affiliated person of the investment company, the Advisers, or the principal underwriter. These procedures will not apply where the Advisers do not have voting discretion or where the Advisers have agreed to with a client to vote the client’s proxies in accordance with specific guidelines or procedures supplied by the client (to the extent permitted by ERISA).

 

I.        

Proxy Voting Committee

The Proxy Voting Committee was originally formed in April 1989 for the purpose of formulating guidelines and reviewing proxy statements within the parameters set by the substantive proxy voting guidelines originally published in 1988 and updated periodically, a copy of which are appended as Exhibit A. The Committee will include representatives of Research, Administration, Legal, and the Advisers. Additional or replacement members of the Committee will be nominated by the Chairman and voted upon by the entire Committee.

Meetings are held as needed basis to form views on the manner in which the Advisers should vote proxies on behalf of their clients.

In general, the Director of Proxy Voting Services, using the Proxy Guidelines, recommendations of Institutional Shareholder Corporate Governance Service (“ISS”), other third-party services and the analysts of Gabelli & Company, Inc., will determine how to vote on each issue. For non-controversial matters, the Director of Proxy Voting Services may vote the proxy if the vote is (1) consistent with the recommendations of the issuer’s Board of Directors and not contrary to the Proxy Guidelines; (2) consistent with the recommendations of the issuer’s Board of Directors and is a non-controversial issue not covered by the Proxy Guidelines; or (3) the vote is contrary to the recommendations of the Board of Directors but is consistent with the Proxy Guidelines. In those instances, the Director of Proxy Voting Services or the Chairman of the Committee may sign and date the proxy statement indicating how each issue will be voted.


All matters identified by the Chairman of the Committee, the Director of Proxy Voting Services or the Legal Department as controversial, taking into account the recommendations of ISS or other third party services and the analysts of Gabelli & Company, Inc., will be presented to the Proxy Voting Committee. If the Chairman of the Committee, the Director of Proxy Voting Services or the Legal Department has identified the matter as one that (1) is controversial; (2) would benefit from deliberation by the Proxy Voting Committee; or (3) may give rise to a conflict of interest between the Advisers and their clients, the Chairman of the Committee will initially determine what vote to recommend that the Advisers should cast and the matter will go before the Committee.

 

  A.

Conflicts of Interest.

The Advisers have implemented these proxy voting procedures in order to prevent conflicts of interest from influencing their proxy voting decisions. By following the Proxy Guidelines, as well as the recommendations of ISS, other third-party services and the analysts of Gabelli & Company, the Advisers are able to avoid, wherever possible, the influence of potential conflicts of interest. Nevertheless, circumstances may arise in which one or more of the Advisers are faced with a conflict of interest or the appearance of a conflict of interest in connection with its vote. In general, a conflict of interest may arise when an Adviser knowingly does business with an issuer, and may appear to have a material conflict between its own interests and the interests of the shareholders of an investment company managed by one of the Advisers regarding how the proxy is to be voted. A conflict also may exist when an Adviser has actual knowledge of a material business arrangement between an issuer and an affiliate of the Adviser.

In practical terms, a conflict of interest may arise, for example, when a proxy is voted for a company that is a client of one of the Advisers, such as GAMCO Asset Management Inc. A conflict also may arise when a client of one of the Advisers has made a shareholder proposal in a proxy to be voted upon by one or more of the Advisers. The Director of Proxy Voting Services, together with the Legal Department, will scrutinize all proxies for these or other situations that may give rise to a conflict of interest with respect to the voting of proxies.

 

  B.

Operation of Proxy Voting Committee

For matters submitted to the Committee, each member of the Committee will receive, prior to the meeting, a copy of the proxy statement, any relevant third party research, a summary of any views provided by the Chief Investment Officer and any recommendations by Gabelli & Company, Inc. analysts. The Chief Investment Officer or the Gabelli & Company, Inc. analysts may be invited to present their viewpoints. If the Director of Proxy Voting Services or the Legal Department believe that the matter before the committee is one with respect to which a conflict of interest may exist between the Advisers and their clients, counsel will


provide an opinion to the Committee concerning the conflict. If the matter is one in which the interests of the clients of one or more of Advisers may diverge, counsel will so advise and the Committee may make different recommendations as to different clients. For any matters where the recommendation may trigger appraisal rights, counsel will provide an opinion concerning the likely risks and merits of such an appraisal action.

Each matter submitted to the Committee will be determined by the vote of a majority of the members present at the meeting. Should the vote concerning one or more recommendations be tied in a vote of the Committee, the Chairman of the Committee will cast the deciding vote. The Committee will notify the proxy department of its decisions and the proxies will be voted accordingly.

Although the Proxy Guidelines express the normal preferences for the voting of any shares not covered by a contrary investment guideline provided by the client, the Committee is not bound by the preferences set forth in the Proxy Guidelines and will review each matter on its own merits. Written minutes of all Proxy Voting Committee meetings will be maintained. The Advisers subscribe to ISS, which supplies current information on companies, matters being voted on, regulations, trends in proxy voting and information on corporate governance issues.

If the vote cast either by the analyst or as a result of the deliberations of the Proxy Voting Committee runs contrary to the recommendation of the Board of Directors of the issuer, the matter will be referred to legal counsel to determine whether an amendment to the most recently filed Schedule 13D is appropriate.

 

II.

Social Issues and Other Client Guidelines

If a client has provided special instructions relating to the voting of proxies, they should be noted in the client’s account file and forwarded to the proxy department. This is the responsibility of the investment professional or sales assistant for the client. In accordance with Department of Labor guidelines, the Advisers’ policy is to vote on behalf of ERISA accounts in the best interest of the plan participants with regard to social issues that carry an economic impact. Where an account is not governed by ERISA, the Advisers will vote shares held on behalf of the client in a manner consistent with any individual investment/voting guidelines provided by the client. Otherwise the Advisers will abstain with respect to those shares.

 

III.

Client Retention of Voting Rights

If a client chooses to retain the right to vote proxies or if there is any change in voting authority, the following should be notified by the investment professional or sales assistant for the client.

- Operations

- Legal Department

- Proxy Department

- Investment professional assigned to the account


In the event that the Board of Directors (or a Committee thereof) of one or more of the investment companies managed by one of the Advisers has retained direct voting control over any security, the Proxy Voting Department will provide each Board Member (or Committee member) with a copy of the proxy statement together with any other relevant information including recommendations of ISS or other third-party services.

 

IV.

Voting Records

The Proxy Voting Department will retain a record of matters voted upon by the Advisers for their clients. The Advisers will supply information on how an account voted its proxies upon request.

A letter is sent to the custodians for all clients for which the Advisers have voting responsibility instructing them to forward all proxy materials to:

[Adviser name]

Attn: Proxy Voting Department

One Corporate Center

Rye, New York 10580-1433

The sales assistant sends the letters to the custodians along with the trading/DTC instructions. Proxy voting records will be retained in compliance with Rule 204-2 under the Investment Advisers Act.

 

V.

Voting Procedures

1.    Custodian banks, outside brokerage firms and clearing firms are responsible for forwarding proxies directly to the Advisers.

Proxies are received in one of two forms:

 

 

Shareholder Vote Authorization Forms (“VAFs”) - Issued by Broadridge Financial Solutions, Inc. (“Broadridge”) VAFs must be voted through the issuing institution causing a time lag. Broadridge is an outside service contracted by the various institutions to issue proxy materials.

 

Proxy cards which may be voted directly.

2.  Upon receipt of the proxy, the number of shares each form represents is logged into the proxy system according to security.

3.  In the case of a discrepancy such as an incorrect number of shares, an improperly signed or dated card, wrong class of security, etc., the issuing custodian is notified by phone. A corrected proxy is requested. Any arrangements are made to insure that a proper proxy is received in time to be voted (overnight delivery, fax, etc.). When securities are out on loan on record date, the custodian is requested to supply written verification.


4.  Upon receipt of instructions from the proxy committee (see Administrative), the votes are cast and recorded for each account on an individual basis.

Records have been maintained on the Proxy Edge system. The system is backed up regularly.

Proxy Edge records include:

Security Name and Cusip Number

Date and Type of Meeting (Annual, Special, Contest)

Client Name

Adviser or Fund Account Number

Directors’ Recommendation

How GAMCO voted for the client on each issue

5.  VAFs are kept alphabetically by security. Records for the current proxy season are located in the Proxy Voting Department office. In preparation for the upcoming season, files are transferred to an offsite storage facility during January/February.

6.  Shareholder Vote Authorization Forms issued by Broadridge are always sent directly to a specific individual at Broadridge.

7.  If a proxy card or VAF is received too late to be voted in the conventional matter, every attempt is made to vote on one of the following manners:

 

 

VAFs can be faxed to Broadridge up until the time of the meeting. This is followed up by mailing the original form.

 

 

When a solicitor has been retained, the solicitor is called. At the solicitor’s direction, the proxy is faxed.

8.  In the case of a proxy contest, records are maintained for each opposing entity.

9.  Voting in Person

a) At times it may be necessary to vote the shares in person. In this case, a “legal proxy” is obtained in the following manner:

 

 

Banks and brokerage firms using the services at Broadridge:

The back of the VAF is stamped indicating that we wish to vote in person. The forms are then sent overnight to Broadridge. Broadridge issues individual legal proxies and sends them back via overnight (or the Adviser can pay messenger charges). A lead-time of at least two weeks prior to the meeting is needed to do this. Alternatively, the procedures detailed below for banks not using Broadridge may be implemented.


 

Banks and brokerage firms issuing proxies directly:

The bank is called and/or faxed and a legal proxy is requested.

All legal proxies should appoint:

“Representative of [Adviser name] with full power of substitution.”

b)    The legal proxies are given to the person attending the meeting along with the following supplemental material:

 

 

A limited Power of Attorney appointing the attendee an Adviser representative.

 

A list of all shares being voted by custodian only. Client names and account numbers are not included. This list must be presented, along with the proxies, to the Inspectors of Elections and/or tabulator at least one-half hour prior to the scheduled start of the meeting. The tabulator must “qualify” the votes (i.e. determine if the vote have previously been cast, if the votes have been rescinded, etc. vote have previously been cast, etc.).

 

A sample ERISA and Individual contract.

 

A sample of the annual authorization to vote proxies form.

 

A copy of our most recent Schedule 13D filing (if applicable).


Appendix A

Proxy Guidelines

PROXY VOTING GUIDELINES

GENERAL POLICY STATEMENT

It is the policy of GAMCO Investors, Inc. to vote in the best economic interests of our clients. As we state in our Magna Carta of Shareholders Rights, established in May 1988, we are neither for nor against management. We are for shareholders.

At our first proxy committee meeting in 1989, it was decided that each proxy statement should be evaluated on its own merits within the framework first established by our Magna Carta of Shareholders Rights. The attached guidelines serve to enhance that broad framework.

We do not consider any issue routine. We take into consideration all of our research on the company, its directors, and their short and long-term goals for the company. In cases where issues that we generally do not approve of are combined with other issues, the negative aspects of the issues will be factored into the evaluation of the overall proposals but will not necessitate a vote in opposition to the overall proposals.


BOARD OF DIRECTORS

The advisers do not consider the election of the Board of Directors a routine issue. Each slate of directors is evaluated on a case-by-case basis.

Factors taken into consideration include:

 

 

Historical responsiveness to shareholders

This may include such areas as:

-Paying greenmail

-Failure to adopt shareholder resolutions receiving a majority of shareholder votes

 

Qualifications

 

Nominating committee in place

 

Number of outside directors on the board

 

Attendance at meetings

 

Overall performance

SELECTION OF AUDITORS

In general, we support the Board of Directors’ recommendation for auditors.

BLANK CHECK PREFERRED STOCK

We oppose the issuance of blank check preferred stock.

Blank check preferred stock allows the company to issue stock and establish dividends, voting rights, etc. without further shareholder approval.

CLASSIFIED BOARD

A classified board is one where the directors are divided into classes with overlapping terms. A different class is elected at each annual meeting.

While a classified board promotes continuity of directors facilitating long range planning, we feel directors should be accountable to shareholders on an annual basis. We will look at this proposal on a case-by-case basis taking into consideration the board’s historical responsiveness to the rights of shareholders.


Where a classified board is in place we will generally not support attempts to change to an annually elected board.

When an annually elected board is in place, we generally will not support attempts to classify the board.

INCREASE AUTHORIZED COMMON STOCK

The request to increase the amount of outstanding shares is considered on a case-by-case basis.

Factors taken into consideration include:

 

 

Future use of additional shares

-Stock split

-Stock option or other executive compensation plan

-Finance growth of company/strengthen balance sheet

-Aid in restructuring

-Improve credit rating

-Implement a poison pill or other takeover defense

 

 

Amount of stock currently authorized but not yet issued or reserved for stock option plans

 

Amount of additional stock to be authorized and its dilutive effect

We will support this proposal if a detailed and verifiable plan for the use of the additional shares is contained in the proxy statement.

CONFIDENTIAL BALLOT

We support the idea that a shareholder’s identity and vote should be treated with confidentiality.

However, we look at this issue on a case-by-case basis.

In order to promote confidentiality in the voting process, we endorse the use of independent Inspectors of Election.


CUMULATIVE VOTING

In general, we support cumulative voting.

Cumulative voting is a process by which a shareholder may multiply the number of directors being elected by the number of shares held on record date and cast the total number for one candidate or allocate the voting among two or more candidates.

Where cumulative voting is in place, we will vote against any proposal to rescind this shareholder right.

Cumulative voting may result in a minority block of stock gaining representation on the board. When a proposal is made to institute cumulative voting, the proposal will be reviewed on a case-by-case basis. While we feel that each board member should represent all shareholders, cumulative voting provides minority shareholders an opportunity to have their views represented.

DIRECTOR LIABILITY AND INDEMNIFICATION

We support efforts to attract the best possible directors by limiting the liability and increasing the indemnification of directors, except in the case of insider dealing.

EQUAL ACCESS TO THE PROXY

The SEC’s rules provide for shareholder resolutions. However, the resolutions are limited in scope and there is a 500 word limit on proponents’ written arguments. Management has no such limitations. While we support equal access to the proxy, we would look at such variables as length of time required to respond, percentage of ownership, etc.

FAIR PRICE PROVISIONS

Charter provisions requiring a bidder to pay all shareholders a fair price are intended to prevent two-tier tender offers that may be abusive. Typically, these provisions do not apply to board-approved transactions.


We support fair price provisions because we feel all shareholders should be entitled to receive the same benefits.

Reviewed on a case-by-case basis.

GOLDEN PARACHUTES

Golden parachutes are severance payments to top executives who are terminated or demoted after a takeover.

We support any proposal that would assure management of its own welfare so that they may continue to make decisions in the best interest of the company and shareholders even if the decision results in them losing their job. We do not, however, support excessive golden parachutes. Therefore, each proposal will be decided on a case-by- case basis.

Note: Congress has imposed a tax on any parachute that is more than three times the executive’s average annual compensation.

ANTI-GREENMAIL PROPOSALS

We do not support greenmail. An offer extended to one shareholder should be extended to all shareholders equally across the board.

LIMIT SHAREHOLDERS’ RIGHTS TO CALL SPECIAL MEETINGS

We support the right of shareholders to call a special meeting.

CONSIDERATION OF NONFINANCIAL EFFECTS OF A MERGER

This proposal releases the directors from only looking at the financial effects of a merger and allows them the opportunity to consider the merger’s effects on employees, the community, and consumers.


As a fiduciary, we are obligated to vote in the best economic interests of our clients. In general, this proposal does not allow us to do that. Therefore, we generally cannot support this proposal.

Reviewed on a case-by-case basis.

MERGERS, BUYOUTS, SPIN-OFFS, RESTRUCTURINGS

Each of the above is considered on a case-by-case basis. According to the Department of Labor, we are not required to vote for a proposal simply because the offering price is at a premium to the current market price. We may take into consideration the long term interests of the shareholders.

MILITARY ISSUES

Shareholder proposals regarding military production must be evaluated on a purely economic set of criteria for our ERISA clients. As such, decisions will be made on a case-by-case basis.

In voting on this proposal for our non-ERISA clients, we will vote according to the client’s direction when applicable. Where no direction has been given, we will vote in the best economic interests of our clients. It is not our duty to impose our social judgment on others.

NORTHERN IRELAND

Shareholder proposals requesting the signing of the MacBride principles for the purpose of countering the discrimination of Catholics in hiring practices must be evaluated on a purely economic set of criteria for our ERISA clients. As such, decisions will be made on a case-by-case basis.

In voting on this proposal for our non-ERISA clients, we will vote according to client direction when applicable. Where no direction has been given, we will vote in the best economic interests of our clients. It is not our duty to impose our social judgment on others.


OPT OUT OF STATE ANTI-TAKEOVER LAW

This shareholder proposal requests that a company opt out of the coverage of the state’s takeover statutes. Example: Delaware law requires that a buyer must acquire at least 85% of the company’s stock before the buyer can exercise control unless the board approves.

We consider this on a case-by-case basis. Our decision will be based on the following:

 

  State of Incorporation
  Management history of responsiveness to shareholders
  Other mitigating factors

POISON PILL

In general, we do not endorse poison pills.

In certain cases where management has a history of being responsive to the needs of shareholders and the stock is very liquid, we will reconsider this position.

REINCORPORATION

Generally, we support reincorporation for well-defined business reasons. We oppose reincorporation if proposed solely for the purpose of reincorporating in a state with more stringent anti-takeover statutes that may negatively impact the value of the stock.

STOCK OPTION PLANS

Stock option plans are an excellent way to attract, hold and motivate directors and employees. However, each stock option plan must be evaluated on its own merits, taking into consideration the following:

 

  Dilution of voting power or earnings per share by more than 10%
  Kind of stock to be awarded, to whom, when and how much
  Method of payment
  Amount of stock already authorized but not yet issued under existing stock option plans


SUPERMAJORITY VOTE REQUIREMENTS

Supermajority vote requirements in a company’s charter or bylaws require a level of voting approval in excess of a simple majority of the outstanding shares. In general, we oppose supermajority-voting requirements. Supermajority requirements often exceed the average level of shareholder participation. We support proposals’ approvals by a simple majority of the shares voting.

LIMIT SHAREHOLDERS RIGHT TO ACT BY WRITTEN CONSENT

Written consent allows shareholders to initiate and carry on a shareholder action without having to wait until the next annual meeting or to call a special meeting. It permits action to be taken by the written consent of the same percentage of the shares that would be required to effect proposed action at a shareholder meeting.

Reviewed on a case-by-case basis.


Item 8. Portfolio Managers of Closed-End Management Investment Companies.

PORTFOLIO MANAGERS

A portfolio team manages The GAMCO Natural Resources, Gold & Income Trust, (the Fund). The individuals listed below are those who are primarily responsible for the day-to-day management of the Fund.

Caesar M. P. Bryan joined GAMCO Asset Management in 1994. He is a member of the global investment team of Gabelli Funds, LLC and portfolio manager of several funds within the Gabelli/GAMCO Fund Complex. Prior to joining Gabelli, Mr. Bryan was a portfolio manager at Lexington Management. He began his investment career in 1979 at Samuel Montagu Company, the London based merchant bank. Mr. Bryan graduated from the University of Southampton in England with a Bachelor of Law and is a member of the English Bar.

Vincent Hugonnard-Roche joined GAMCO Investors, Inc. in 2000. He is Director of Quantitative Strategies, head of the Gabelli Risk Management Group, and serves as a portfolio manager of Gabelli Funds, LLC and manages another fund within the Gabelli/GAMCO Fund complex. He received a Master’s degree in Mathematics of Decision Making from EISITI, France and an MS in Finance from ESSEC, France.

MANAGEMENT OF OTHER ACCOUNTS

The table below shows the number of other accounts managed by each Portfolio Manager and the total assets in each of the following categories: registered investment companies, other paid investment vehicles and other accounts as of December 31, 2014. For each category, the table also shows the number of accounts and the total assets in the accounts with respect to which the advisory fee is based on account performance.

 

Name of Portfolio
Manager

Type of

Accounts

Total

No. of Accounts
Managed

Total

Assets

No. of

Accounts

where

Advisory Fee

is Based on
Performance

Total Assets in

Accounts

where

Advisory Fee

is Based on
Performance

Caesar M.P. Bryan

Registered Investment Companies: 5 1.2B 0 0
  Other Pooled Investment Vehicles: 2 3.2M 2 3.2M
 

Other Accounts:

22 96.6M 0 0
 
Name of Portfolio
Manager

Type of

Accounts

Total

No. of Accounts
Managed

Total

Assets

No. of

Accounts

where

Advisory Fee

is Based on
Performance

Total Assets in

Accounts

where

Advisory Fee

is Based on
Performance

Vincent Hugonnard-Roche

Registered Investment Companies:

1 924.8B 0 0
  Other Pooled Investment Vehicles: 1 20.9M 0 0
 

Other Accounts:

6 1.4M 0 0

POTENTIAL CONFLICTS OF INTEREST

As reflected above, the Portfolio Managers manage accounts in addition to the Fund. Actual or apparent conflicts of interest may arise when a Portfolio Manager also has day-to-day management responsibilities with respect to one or more other accounts. These potential conflicts include:


ALLOCATION OF LIMITED TIME AND ATTENTION. As indicated above, the Portfolio Managers manage multiple accounts. As a result, he/she will not be able to devote all of their time to the management of the Fund. A Portfolio Manager, therefore, may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts, as might be the case if he/she were to devote all of his/her attention to the management of only the Fund.

ALLOCATION OF LIMITED INVESTMENT OPPORTUNITIES. As indicated above, the Portfolio Managers manage accounts with investment strategies and/or policies that are similar to the Fund. In these cases, if the Portfolio Manager identifies an investment opportunity that may be suitable for multiple accounts, the Fund may not be able to take full advantage of that opportunity because the opportunity may be allocated among all or many of these accounts or other accounts managed primarily by other Portfolio Managers of the Adviser, and their affiliates. In addition, in the event a Portfolio Manager determines to purchase a security for more than one account in an aggregate amount that may influence the market price of the security, accounts that purchased or sold the security first may receive a more favorable price than accounts that made subsequent transactions.

PURSUIT OF DIFFERING STRATEGIES. At times, a Portfolio Manager may determine that an investment opportunity may be appropriate for only some of the accounts for which he/she exercises investment responsibility, or may decide that certain of the funds or accounts should take differing positions with respect to a particular security. In these cases, the Portfolio Manager may execute differing or opposite transactions for one or more accounts which may affect the market price of the security or the execution of the transaction, or both, to the detriment of one or more other accounts.

VARIATION IN COMPENSATION. A conflict of interest may arise where the financial or other benefits available to the Portfolio Manager differ among the accounts that he or she manages. If the structure of the Adviser’s management fee or the Portfolio Manager’s compensation differs among accounts (such as where certain accounts pay higher management fees or performance-based management fees), the Portfolio Manager may be motivated to favor certain accounts over others. The Portfolio Manager may also be motivated to favor accounts in which he or she has an investment interest, or in which the Adviser, or their affiliates have investment interests. Similarly, the desire to maintain assets under management or to enhance a Portfolio Manager’s performance record or to derive other rewards, financial or otherwise, could influence the Portfolio Manager in affording preferential treatment to those accounts that could most significantly benefit the Portfolio Manager. For example, as reflected above, if a Portfolio Manager manages accounts, which have performance fee arrangements, certain portions of their compensation will depend on the achievement of performance milestones on those accounts. The Portfolio Manager could be incented to afford preferential treatment to those accounts and thereby by subject to a potential conflict of interest.

The Adviser, and the Funds have adopted compliance policies and procedures that are designed to address the various conflicts of interest that may arise for the Adviser and their staff members. However, there is no guarantee that such policies and procedures will be able to detect and prevent every situation in which an actual or potential conflict may arise.

COMPENSATION STRUCTURE FOR THE PORTFOLIO MANAGERS OF THE ADVISER

The compensation of the Portfolio Managers for the Fund is structured to enable the Adviser to attract and retain highly qualified professionals in a competitive environment. The Portfolio Managers receive a compensation package that includes a minimum draw or base salary, equity-based incentive compensation via awards of restricted stock options, and incentive based variable compensation based on a percentage of net revenue received by the Adviser for managing the Fund to the extent that the amount exceeds a minimum level of compensation. Net revenues are determined by deducting from gross investment management fees certain of the firm’s expenses (other than the Portfolio Managers’ compensation) allocable to the Fund (the incentive-based variable compensation for managing other accounts is also based on a percentage of net revenues to the investment adviser for managing the account). This method of compensation is based on the premise that superior long-term performance in managing a portfolio should be rewarded with higher compensation as a result of growth of assets through appreciation and net investment activity. The level of equity-based incentive and incentive-based


variable compensation is based on an evaluation by the Adviser’s parent, GBL, of quantitative and qualitative performance evaluation criteria. This evaluation takes into account, in a broad sense, the performance of the accounts managed by the Portfolio Manager, but the level of compensation is not determined with specific reference to the performance of any account against any specific benchmark. Generally, greater consideration is given to the performance of larger accounts and to longer term performance over smaller accounts and short-term performance.

OWNERSHIP OF SHARES IN THE FUND

Caesar M.P. Bryan, Vincent Hugonnard-Roche each owned $0, $1-$10,000, respectively, of shares of the Trust as of December 31, 2014.

 

(b) Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

REGISTRANT PURCHASES OF EQUITY SECURITIES

 

Period

(a) Total Number of  

Shares (or Units)

Purchased

(b) Average Price Paid  
per Share (or Unit)

(c) Total Number of

Shares (or Units)

Purchased as Part of    

Publicly Announced

Plans or Programs

(d) Maximum Number (or
Approximate Dollar Value) of  
Shares  (or Units) that May
Yet Be Purchased Under the
Plans or Programs
                     
         

Month #1

07/01/14

through

07/31/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A

         

Month #2

08/01/14

through

08/31/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A

         

Month #3

09/01/14

through

09/30/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A

         

Month #4

10/01/14

through

10/31/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A

         

Month #5

11/01/14

through

11/30/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A


         

Month #6

12/01/14

through

12/31/14

 

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – 21,050,861

 

Preferred – N/A

         

Total

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

Common – N/A

 

Preferred – N/A

 

N/A

Footnote columns (c) and (d) of the table, by disclosing the following information in the aggregate for all plans or programs publicly announced:

 

a. The date each plan or program was announced – The notice of the potential repurchase of common and preferred shares occurs quarterly in the Fund’s quarterly report in accordance with Section 23(c) of the Investment Company Act of 1940, as amended.

 

b. The dollar amount (or share or unit amount) approved – Any or all common shares outstanding may be repurchased when the Fund’s common shares are trading at a discount of 10% or more from the net asset value of the shares.

Any or all preferred shares outstanding may be repurchased when the Fund’s preferred shares are trading at a discount to the liquidation value of $25.00.

 

c. The expiration date (if any) of each plan or program – The Fund’s repurchase plans are ongoing.

 

d. Each plan or program that has expired during the period covered by the table – The Fund’s repurchase plans are ongoing.

 

e. Each plan or program the registrant has determined to terminate prior to expiration, or under which the registrant does not intend to make further purchases. – The Fund’s repurchase plans are ongoing.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.


Item 11. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a)(1)  

Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2

is attached hereto.

(a)(2)  

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)  

Not applicable.

(b)

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-

Oxley Act of 2002 are attached hereto.

(12.other) Not applicable.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) GAMCO Natural Resources, Gold & Income Trust                                                 

By (Signature and Title)*    /s/ Bruce N. Alpert                                                                            

                                              Bruce N. Alpert, Principal Executive Officer

Date      3/09/2015                                                                                                                           

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*    /s/ Bruce N. Alpert                                                                           

                                              Bruce N. Alpert, Principal Executive Officer

Date      3/09/2015                                                                                                                           

By (Signature and Title)*    /s/ Agnes Mullady                                                                            

                                              Agnes Mullady, Principal Financial Officer and Treasurer

Date      3/09/2015                                                                                                                           

 

* 

Print the name and title of each signing officer under his or her signature.